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Statistical Inference Regarding Markov Chain Models

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  • Christopher Chatfield

Abstract

The paper reviews different techniques for examining sequential dependencies in a series of observations each of which can have c possible outcomes. The relationship between the likelihood ratio test and information theory is described. The paper also considers how the techniques need to be modified in situations where two successive outcomes are always different.

Suggested Citation

  • Christopher Chatfield, 1973. "Statistical Inference Regarding Markov Chain Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(1), pages 7-20, March.
    • Handle: RePEc:bla:jorssc:v:22:y:1973:i:1:p:7-20
    DOI: 10.2307/2346299
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    Citations

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    Cited by:

    1. Hirji, Karim F. & Johnson, Timothy D., 1999. "Exact inference on stratified two-stage Markov chain models," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 159-186, August.
    2. Kiefer, Nicholas M. & Larson, C. Erik, 2007. "A simulation estimator for testing the time homogeneity of credit rating transitions," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 818-835, December.
    3. Gregory, Allan W, 1989. "A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 107-115, January.
    4. J. Besag & D. Mondal, 2013. "Exact Goodness-of-Fit Tests for Markov Chains," Biometrics, The International Biometric Society, vol. 69(2), pages 488-496, June.
    5. repec:diw:diwfin:diwfin01050 is not listed on IDEAS
    6. Nurul Nnadiah Zakaria & Mahmod Othman & Rajalingam Sokkalingam & Hanita Daud & Lazim Abdullah & Evizal Abdul Kadir, 2019. "Markov Chain Model Development for Forecasting Air Pollution Index of Miri, Sarawak," Sustainability, MDPI, vol. 11(19), pages 1-11, September.
    7. Gongyu Chen & Chris Higson & Sean Holly & Ivan Petrella, 2010. "Equity Markets, Financial Integration and Competitive Convergence," Working Paper / FINESS 1.5, DIW Berlin, German Institute for Economic Research.
    8. Hal Whitehead & Ian D Jonsen, 2013. "Inferring Animal Densities from Tracking Data Using Markov Chains," PLOS ONE, Public Library of Science, vol. 8(4), pages 1-5, April.
    9. Brian T. Pentland & Thorvald Hærem & Derek Hillison, 2011. "The (N)Ever-Changing World: Stability and Change in Organizational Routines," Organization Science, INFORMS, vol. 22(6), pages 1369-1383, December.

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