Un semplice test preliminare di markovianità


  • Andrea Scagni Università degli Studi di Torino




A test of the Markov hypothesis (of arbitrary order) on an observed discrete stochastic process is often necessary before advancing further in the analysis. For this, however, a common goodness-of-fit test cannot be applied if a specific alternative is not specified, due to difficulties with its asymptotic distribution and to its computational intensity. In this paper a test based on the marginal (w. r. to time) distributions of the process is proposed. Specifically, a Wald-type test is developed after computing the general variance-covariance matrix for observed frequencies in any two different times t~ and t2, obtained from a Markov chain of arbitrary order m. Similarities with the literature on goodness-of-fit tests for complex samples are also investigated, since the marginal (w. r. to time) distributions of the process can be seen as generated by a cluster sampling scheme. Such at test has also to be performed before the application of the multivariate Markov chain models considered in Scagni (1993).

How to Cite

Scagni, A. (1996). Un semplice test preliminare di markovianità. Statistica, 56(4), 445–460. https://doi.org/10.6092/issn.1973-2201/1041