Global and local tests to assess stationarity of Markov transition models
Rodrigues de Lara, Idemauro Antonio
Taconeli, Cesar Augusto
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Rodrigues de Lara, Idemauro Antonio, Hinde, John, & Taconeli, Cesar Augusto. (2019). Global and local tests to assess stationarity of Markov transition models. Communications in Statistics - Simulation and Computation, 48(4), 1019-1039. doi: 10.1080/03610918.2017.1406504
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.