Corrections to likelihood ratio tests of hypotheses concerning the parameters of Markov chains

SUMMARY Multiplying factors are presented which substantially inorease the rate at which the likelihood ratio test statistic converges to its limiting chi-squared distribution as the number of observations increases. The corrections apply to the following hypotheses about Markov chain sequences: tha...

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Bibliographic Details
Published in:Biometrika 1975-12, Vol.62 (3), p.595-598
Main Author: Sharp, Stephen A.
Format: Article
Language:English
Subjects:
Approximation
Correction
Degrees of freedom
Finite samples
Likelihood ratio
Markov chains
Null hypothesis
Probabilities
Ratio test
Statistics
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Summary:SUMMARY Multiplying factors are presented which substantially inorease the rate at which the likelihood ratio test statistic converges to its limiting chi-squared distribution as the number of observations increases. The corrections apply to the following hypotheses about Markov chain sequences: that the transition probabilities are stationary over time; that the chain is of a given order; and that several samples come from the same chain. Some technical features of the corrections are discussed and their applicability via computer programs is mentioned.
ISSN:0006-3444
1464-3510
DOI:10.1093/biomet/62.3.595