Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation
AbstractThis paper presents a complete framework for testing procedure based on statistical theory of Markov chains.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 137 (2002)
Issue (Month): 3 (March)
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Other versions of this item:
- Tan, B. & Yilmaz, K., 1999. "Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation," Papers 99/03, Koc University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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