IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v31y1997i4p333-338.html
   My bibliography  Save this article

Bayesian test of homogeneity for Markov chains

Author

Listed:
  • Dupuis, Jérôme A.

Abstract

The test we develop expresses the null hypothesis in terms of proximity of the distribution of a Markov chain (yt) to the subspace of homogeneous Markov chains. The distance we use is the Kullback distance which turns out to be conceptually appropriate. Departure from the point null hypothesis allows us to formulate the question of interest in meaningful terms, but implementing this approach comes up against a scaling problem. In this paper, we propose a new approach in order to solve this scaling problem by formulating the proximity to homogeneity as a percentage of the maximum distance to .

Suggested Citation

  • Dupuis, Jérôme A., 1997. "Bayesian test of homogeneity for Markov chains," Statistics & Probability Letters, Elsevier, vol. 31(4), pages 333-338, February.
    • Handle: RePEc:eee:stapro:v:31:y:1997:i:4:p:333-338
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(96)00047-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:31:y:1997:i:4:p:333-338. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.