Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7547426 | Journal of Statistical Planning and Inference | 2016 | 12 Pages |
Abstract
The aim of this paper is to propose a methodology for testing general hypotheses in a Markovian setting with random sampling. A discrete Markov chain X is observed at random time intervals Ïk, assumed to be i.i.d. with unknown distribution μ. Two test procedures are investigated. The first one is devoted to testing if the transition matrix P of the Markov chain X satisfies specific affine constraints, covering a wide range of situations such as symmetry or sparsity. The second procedure is a goodness-of-fit test on the distribution μ, which reveals to be consistent under mild assumptions even though the time gaps are not observed. The theoretical results are supported by a Monte Carlo simulation study to show the performance and robustness of the proposed methodologies on specific numerical examples.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Flavia Barsotti, Anne Philippe, Paul Rochet,