Geodesic
Inference about stationary distributions of Markov chains based on divergences with observed frequencies
Kybernetika, Tome 35 (1999) no. 3, p. [265].

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For data generated by stationary Markov chains there are considered estimates of chain parameters minimizing ϕ–divergences between theoretical and empirical distributions of states. Consistency and asymptotic normality are established and the asymptotic covariance matrices are evaluated. Testing of hypotheses about the stationary distributions based on ϕ–divergences between the estimated and empirical distributions is considered as well. Asymptotic distributions of ϕ–divergence test statistics are found, enabling to specify asymptotically α-level tests.
Classification : 62E20, 62M02, 62M05
Mots-clés : ϕ-divergence; empirical distributions; parameter estimation; hypotheses testing 
@article{KYB_1999__35_3_a0,
     author = {Men\'endez, Mar{\'\i}a Luisa and Morales, Domingo and Pardo, Leandro and Vajda, Igor},
     title = {Inference about stationary distributions of {Markov} chains based on divergences with observed frequencies},
     journal = {Kybernetika},
     pages = {[265]},
     publisher = {mathdoc},
     volume = {35},
     number = {3},
     year = {1999},
     mrnumber = {1704667},
     zbl = {1274.62548},
     language = {en},
     url = {https://geodesic-test.mathdoc.fr/item/KYB_1999__35_3_a0/}
}
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Menéndez, María Luisa; Morales, Domingo; Pardo, Leandro; Vajda, Igor. Inference about stationary distributions of Markov chains based on divergences with observed frequencies. Kybernetika, Tome 35 (1999) no. 3, p. [265]. https://geodesic-test.mathdoc.fr/item/KYB_1999__35_3_a0/