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A Generalized φ-Divergence for Asymptotically Multivariate Normal Models
Authors:Stefan Wegenkittl
Institution:Universität Salzburg, Salzburg, Austriaf1
Abstract:I. Csiszár's (Magyar. Tud. Akad. Mat. Kutató Int. Közl8 (1963), 85–108) -divergence, which was considered independently by M. S. Ali and S. D. Silvey (J. R. Statist. Soc. Ser. B28 (1966), 131–142) gives a goodness-of-fit statistic for multinomial distributed data. We define a generalized φ-divergence that unifies the -divergence approach with that of C. R. Rao and S. K. Mitra (“Generalized Inverse of Matrices and Its Applications,” Wiley, New York, 1971) and derive weak convergence to a χ2 distribution under the assumption of asymptotically multivariate normal distributed data vectors. As an example we discuss the application to the frequency count in Markov chains and thereby give a goodness-of-fit test for observations from dependent processes with finite memory.
Keywords:distribution of statistics  hypothesis testing  Markov processes: hypothesis testing (Inference from stochastic processes)  asymptotic distribution theory
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