A stationarity test on Markov chain models based on marginal distribution

Abstract

A stationarity test on Markov chain models is proposed in this paper. Most of the previous test procedures for Markov chain models have been done based on conditional probabilities of transition matrix. The likelihood ratio test and chi-square test have been used for test procedures such as stationarity, order of Markov chain, and goodness of fit test, for… (More)

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