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Testing lumpability in Markov chains

Author

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  • Jernigan, Robert W.
  • Baran, Robert H.

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.

Suggested Citation

  • Jernigan, Robert W. & Baran, Robert H., 2003. "Testing lumpability in Markov chains," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 17-23, August.
    • Handle: RePEc:eee:stapro:v:64:y:2003:i:1:p:17-23
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    References listed on IDEAS

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    1. Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2001. "Improved estimators for constrained Markov chain models," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 427-435, October.
    2. Peng, Nan-Fu, 1996. "On weak lumpability of a finite Markov chain," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 313-318, May.
    3. A. Azzalini & A.W. Bowman, 1990. "A Look at Some Data on the Old Faithful Geyser," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(3), pages 357-365, November.
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    Cited by:

    1. Roberto Colombi & Sabrina Giordano, 2011. "Testing lumpability for marginal discrete hidden Markov models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(3), pages 293-311, September.
    2. Stadje, Wolfgang, 2005. "The evolution of aggregated Markov chains," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 303-311, October.
    3. Levi John Wolf & Sergio Rey, 2016. "On the lumpability of regional income convergence," Letters in Spatial and Resource Sciences, Springer, vol. 9(3), pages 265-275, October.

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