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Tests of Markov Order and Homogeneity in a Markov Chain

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Title: Tests of Markov Order and Homogeneity in a Markov Chain
Authors: Jonsson, Robert
Issue Date: 2011
University: Göteborg University. School of Business, Economics and Law
Institution: Department of Economics
Publication type: article, other scientific
Keywords: statistics
Abstract: A three-state non-homogeneous Markov chain (MC) of order m≥0, denoted M(m), was previously introduced by the author. The model was used to analyze work resumption among sick-listed patients. It was demonstrated that wrong assumptions about the Markov order m and about homogeneity can seriously invalidate predictions of future health states. In this paper focus is on tests (estimation) of m and of homogeneity. When testing for Markov order it is suggested to test M(m) against M(m+1) with m sequen... more
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