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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Global and local tests to assess stationarity of Markov transition models

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Author(s):
Rodrigues de Lara, Idemauro Antonio [1] ; Hinde, John [1] ; Taconeli, Cesar Augusto [1]
Total Authors: 3
Affiliation:
[1] Univ Sao Paulo, Exact Sci Dept, Luiz de Queiroz Coll Agr, Padua Dias Ave 11, POB 9, BR-13418900 Piracicaba, SP - Brazil
Total Affiliations: 1
Document type: Journal article
Source: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION; v. 48, n. 4, p. 1019-1039, APR 21 2019.
Web of Science Citations: 0
Abstract

We present global and local likelihood-based tests to evaluate stationarity in transition models. Three motivational studies are considered. A simulation study was carried out to assess the performance of the proposed tests. The results showed that they present good performance with the control of the type-I error, especially for ordinal responses, and control of the type-II error, especially for the nominal case. Asymptotically they are close to the classical test performance. They can be executed in a single framework without the need to estimate the transition probabilities, incorporating both categorical and continuous covariates, and used to identify sources of non-stationarity. (AU)

FAPESP's process: 15/02628-2 - Longitudinal categorical data analysis: a focus on Markov transition models
Grantee:Idemauro Antonio Rodrigues de Lara
Support Opportunities: Scholarships abroad - Research