2016
DOI: 10.1016/j.jspi.2015.12.009
|View full text |Cite
|
Sign up to set email alerts
|

Hypothesis testing for Markovian models with random time observations

Abstract: Abstract. The aim of this paper is to propose a methodology for testing general hypothesis in a Markovian setting with random sampling. A discrete Markov chain X is observed at random time intervals τ k , assumed to be iid 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-… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1
1
1

Citation Types

0
7
0

Year Published

2016
2016
2022
2022

Publication Types

Select...
4
2

Relationship

2
4

Authors

Journals

citations
Cited by 7 publications
(7 citation statements)
references
References 15 publications
0
7
0
Order By: Relevance
“…The identifiability conditions in this model rely on the existence of a sparse matrix in the commutant. Similar problems and applications are studied in [3,13,15,17].…”
Section: Notations and Preliminary Resultsmentioning
confidence: 94%
“…The identifiability conditions in this model rely on the existence of a sparse matrix in the commutant. Similar problems and applications are studied in [3,13,15,17].…”
Section: Notations and Preliminary Resultsmentioning
confidence: 94%
“…The fourth step in the guided inquiry is collecting data, information needed to test the proposed hypothesis (Saarinen et al, 2017, Depoy & Gitlin, 2016Deufemia et al 2014;Majid 2015). The fifth step in the guided inquiry is to test the hypothesis, the process of determining the answer that is deemed to be accepted in accordance with the data or information obtained on the basis of data collection (Donnarumma et al 2017;Zhou et al 2017;Barsotti et al 2016, Majid, 2015. The last step in the guided inquiry is to formulate a conclusion, a process of describing the findings obtained on the basis of hypothesis testing (Lucena-Molina, 2016;Tan, 2017;Majid, 2015).…”
Section: Discussionmentioning
confidence: 99%
“…where Σ is a N 2 × N 2 covariance matrix (either known or that can be estimated). For instance, one can think of K as the empirical covariance when observing a sample of vectors of covariance K. This condition is verified for instance in the framework considered in Barsotti et al (2014Barsotti et al ( , 2016. Note that asymptotic normality is a standard ground base investigating any least-squares procedure.…”
Section: Assumptionsmentioning
confidence: 93%
“…We begin with an example treated in the companion papers Barsotti et al (2014Barsotti et al ( , 2016. Consider a Markov chain (X n ) n∈N with finite state space [1, N ] and transition matrix P ∈ R N ×N .…”
Section: Markov Chainsmentioning
confidence: 99%