Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation

DOI10.1016/S0377-2217(01)00081-9zbMath1007.90074OpenAlexW1976170667MaRDI QIDQ1600863

Kamil Yilmaz, Barış Tan

Publication date: 16 June 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(01)00081-9

zbMATH Keywords

time seriesMonte Carlo simulationMarkov chainefficient market hypothesis

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov and semi-Markov decision processes (90C40)

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Cites Work

• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Statistical Inference about Markov Chains
• Estimating a Markov Transition Matrix from Observational Data
• Portfolio Analysis in a Stable Paretian Market
• Brownian Motion in the Stock Market
• Empirical Evaluation of Some Chi-Square Tests for the Order of a Markov Chain
• The Behavior of Stock-Price Relatives—A Markovian Analysis

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