Un semplice test preliminare di markovianità

A. Scagni
A test of the Markov hypothesis (of arbitrary order) on an observed discrete stochastic process is often necessary before advancing further in the analysis. For this, however, a common goodness-of-fit test cannot be applied if a specific alternative is not specified, due to difficulties with its asymptotic distribution and to its computational intensity. In this paper a test based on the marginal (w. r. to time) distributions of the process is proposed. Specifically, a Wald-type...