Bayesian test of homogeneity for Markov chains

Jérôme A. Dupuis

Statistics & Probability Letters, 1997, vol. 31, issue 4, 333-338

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 .

Keywords: Entropy; Homogeneity; Kullback-Leibler; distance; Longitudinal; data; Proximity; Test (search for similar items in EconPapers)
Date: 1997
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