Testing stationary distributions of Markov chains based on Raoʹs divergence Original Research Article

Statistical inference problems such as the estimation of parameters and testing composite hypothesis about stationary distributions in the set of states of Markov chains are solved. Both, the estimator and the statistic proposed are based on Raoʹs divergence. The asymptotic properties of the estimator and the critical values of asymptotically γ-level tests are obtained.