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A simple check of the time homogeneity of Markov chains

A simple check of the time homogeneity of Markov chains In this paper we consider a population where the state of each individual follows a Markov chain. If the population is recorded for a very few periods only, it is still possible to estimate the transition matrix and to make projections into the far future. These forecasts are sensible if the chains are time homogeneous, but this is difficult to check if only a few periods are observed. We suggest a simple method to check this assumption, and obtain an upper bound on the time the process can have been time homogeneous. The method is also applied to a second‐order Markov chain and to the mover‐stayer model. AMS subject classification (1980): Primary 62M05, Secondary 62M20. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Forecasting Wiley

A simple check of the time homogeneity of Markov chains

Journal of Forecasting , Volume 8 (1) – Jan 1, 1989

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References (7)

Publisher
Wiley
Copyright
Copyright © 1989 John Wiley & Sons, Ltd.
ISSN
0277-6693
eISSN
1099-131X
DOI
10.1002/for.3980080106
Publisher site
See Article on Publisher Site

Abstract

In this paper we consider a population where the state of each individual follows a Markov chain. If the population is recorded for a very few periods only, it is still possible to estimate the transition matrix and to make projections into the far future. These forecasts are sensible if the chains are time homogeneous, but this is difficult to check if only a few periods are observed. We suggest a simple method to check this assumption, and obtain an upper bound on the time the process can have been time homogeneous. The method is also applied to a second‐order Markov chain and to the mover‐stayer model. AMS subject classification (1980): Primary 62M05, Secondary 62M20.

Journal

Journal of ForecastingWiley

Published: Jan 1, 1989

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