Goodness-of-fit test for homogeneous Markov processes

Vilijandas Bagdonavičius; Mikhail Nikulin

doi:10.1016/j.crma.2013.01.014

Statistics/Probability Theory

Goodness-of-fit test for homogeneous Markov processes
[Test dʼajustement pour les processus homogènes de Markov]

Présenté par : Paul Deheuvels

Vilijandas Bagdonavičius ¹ ; Mikhail Nikulin ²

¹ University of Vilnius, 24, Naugarduko, Vilnius, Lithuania
² Université Victor-Segalen, Bordeaux-1, 351, cours de la Libération, 33405 Talence cedex, France

Comptes Rendus. Mathématique, Volume 351 (2013) no. 3-4, pp. 149-154.

Résumé
Abstract

On propose des tests dʼajustement du type chi deux de lʼhypothèse selon laquelle un processus stochastique dʼespace dʼétats fini est un processus de Markov homogène, dont les intensités de transition sont, ou inconnues, ou des fonctions spécifiées dʼun paramètre de dimension finie.

We give chi-squared goodness-of-fit tests for homogeneous Markov processes with unknown transition intensities or with transition intensities of known form depending on a finite-dimensional parameter.

Reçu le : 2012-07-19
Accepté le : 2013-01-31
Publié le : 2013-02-01

DOI : 10.1016/j.crma.2013.01.014

Affiliations des auteurs :

Vilijandas Bagdonavičius ¹ ; Mikhail Nikulin ²

¹ University of Vilnius, 24, Naugarduko, Vilnius, Lithuania
² Université Victor-Segalen, Bordeaux-1, 351, cours de la Libération, 33405 Talence cedex, France

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     author = {Vilijandas Bagdonavi\v{c}ius and Mikhail Nikulin},
     title = {Goodness-of-fit test for homogeneous {Markov} processes},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {149--154},
     publisher = {Elsevier},
     volume = {351},
     number = {3-4},
     year = {2013},
     doi = {10.1016/j.crma.2013.01.014},
     language = {en},
}

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Vilijandas Bagdonavičius; Mikhail Nikulin. Goodness-of-fit test for homogeneous Markov processes. Comptes Rendus. Mathématique, Volume 351 (2013) no. 3-4, pp. 149-154. doi : 10.1016/j.crma.2013.01.014. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2013.01.014/

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