Testing lumpability in Markov chains

Robert W. Jernigan and Robert H. Baran

Statistics & Probability Letters, 2003, vol. 64, issue 1, 17-23

Abstract: The chi-squared test of Markov chain lumpability is shown to operate reliably under a corrected derivation of the degrees of freedom. The test is used to screen out lumping schemes that corrupt the Markov property and give rise to higher order dependence.

Keywords: Time; series; Markov; chain; Lumpability; Chi-squared; tests (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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