Time reversibility of stationary regular finite-state Markov chains

DOI10.1016/j.jeconom.2005.09.001zbMath1418.62518OpenAlexW3023972500MaRDI QIDQ278256

William J. McCausland

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/09-2004-cah.pdf

zbMATH Keywords

hidden Markov modelsBayesian inferencefinite-state Markov chainstime reversibility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (8)

Fitting a reversible Markov chain by maximum likelihood: converting an awkwardly constrained optimization problem to an unconstrained one ⋮ TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS ⋮ Conditional exact tests for Markovianity and reversibility in multiple categorical sequences ⋮ GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS ⋮ On the imbedding problem for three-state time homogeneous Markov chains with coinciding negative eigenvalues ⋮ On the imaginary-real ratio rule of power spectra ⋮ Exact Goodness‐of‐Fit Tests for Markov Chains ⋮ Comment on “On the imaginary-real ratio rule of power spectra” [J. Math. Phys. 50, 063301 (2009)]

Uses Software

• BACC

Cites Work

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• Using simulation methods for bayesian econometric models: inference, development,and communication
• Bayesian Methods for Hidden Markov Models
• Consistent Nonparametric Entropy-Based Testing

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