Person:
Morales González, Domingo

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First Name
Domingo
Last Name
Morales González
URI
https://hdl.handle.net/20.500.14352/83591
Affiliation
Universidad Complutense de Madrid
Faculty / Institute
Ciencias Matemáticas
Department
Area
Estadística e Investigación Operativa
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Author: Pardo Llorente, Leandro × Subject: 519.217 ×

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    Statistical inference for finite Markov chains based on divergences
    (Statistics and probability letters, 1999) Menéndez Calleja, María Luisa; Morales González, Domingo; Pardo Llorente, Leandro; Zografos, Konstantinos
    We consider statistical data forming sequences of states of stationary finite irreducible Markov chains, and draw statistical inference about the transition matrix. The inference consists in estimation of parameters of transition probabilities and testing simple and composite hypotheses about them. The inference is based on statistics which are suitable weighted sums of normed phi-divergences of theoretical row distributions, evaluated at suitable points, and observed empirical row distributions. The asymptotic distribution of minimum phi-divergence estimators is obtained, as well as critical values of asymptotically alpha-level tests.