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- W2073745063 abstract "The authors consider hidden Markov models (HMMs) whose latent process has m ≥ 2 states and whose state-dependent distributions arise from a general one-parameter family. They propose a test of the hypothesis m = 2. Their procedure is an extension to HMMs of the modified likelihood ratio statistic proposed by Chen, Chen & Kalbfleisch (2004) for testing two states in a finite mixture. The authors determine the asymptotic distribution of their test under the hypothesis m = 2 and investigate its finite-sample properties in a simulation study. Their test is based on inference for the marginal mixture distribution of the HMM. In order to illustrate the additional difficulties due to the dependence structure of the HMM, they show how to test general regular hypotheses on the marginal mixture of HMMs via a quasi-modified likelihood ratio. They also discuss two applications.Tester qu'un modele de Markov cache ne possede que deux etatsLes auteurs s'interessent aux modeles a chaine de Markov cachee (CMC) dont le processus latent possede m ≥ 2 etats induisant des lois issues d'une famille monoparametrique. Ils proposent un test de l'hypothese m = 2. Leur procedure etend au cas des CMC la statistique du rapport des vraisemblances modifie (RVM) proposee par Chen, Chen & Kalbfleisch (2004) pour tester un melange de deux lois. Les auteurs determinent la loi asymptotique de leur test sous l'hypothese m = 2 et ils en etudient le comportement a taille finie par voie de simulation. Leur test exploite l'inference concernant la structure de melange marginale de la CMC. Pour illustrer les difficultes supplementaires dues a la structure de dependance de la CMC, ils montrent comment utiliser un RVM pour tester des hypotheses regulieres generales sur la structure de melange marginale d'une CMC. Ils presentent en outre deux applications." @default.
- W2073745063 created "2016-06-24" @default.
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- W2073745063 date "2008-12-01" @default.
- W2073745063 modified "2023-09-26" @default.
- W2073745063 title "Testing for two states in a hidden Markov model" @default.
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- W2073745063 doi "https://doi.org/10.1002/cjs.5550360402" @default.
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