Global and local tests to assess stationarity of Markov transition models

Autor:	Idemauro Antonio Rodrigues de Lara, John Hinde, Cesar Augusto Taconeli
Rok vydání:	2018
Předmět:	Statistics and Probability Generalized linear model Markov transition Generalized linear models Simulation study VEROSSIMILHANÇA Foundation (engineering) transition probabilities Work (electrical) Modeling and Simulation Statistics Longitudinal categorical data Mathematical economics Mathematics
Zdroj:	Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual) Universidade de São Paulo (USP) instacron:USP
Popis:	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. This work was supported by São Paulo Research Foundation (FAPESP), Brazil, grant number 2015/02628-2. peer-reviewed
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8e7a552eac82ea28e6551aaf2c36dd16 Zobrazit plný text záznamu