Global and local tests to assess stationarity of Markov transition models

Autor(es)

Rodrigues de Lara, Idemauro Antonio ^[1] ; Hinde, John ^[1] ; Taconeli, Cesar Augusto ^[1]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Exact Sci Dept, Luiz de Queiroz Coll Agr, Padua Dias Ave 11, POB 9, BR-13418900 Piracicaba, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION; v. 48, n. 4, p. 1019-1039, APR 21 2019.
• Citações Web of Science: 0

Resumo

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)

• Processo FAPESP: 15/02628-2 - Análise de dados categorizados longitudinais: um enfoque aos modelos de transição de Markov
• Beneficiário: Idemauro Antonio Rodrigues de Lara
• Modalidade de apoio: Bolsas no Exterior - Pesquisa