2013/02/06 by Shawn D. Pethel, Pethel, Shawn D., Daniel W. Hahs +1
Computer Science · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Bayesian Methods and Mixture Models #Data Analysis #FOS: Computer and information sciences #FOS: Physical sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Methods and Inference #Statistics and Probability (physics.data-an) #physics.data-an #stat.ME
paper · pdf · doi:10.48550/arxiv.1302.1500
7 pages, 2 figures, 3 tables
arxiv created 2013/02/06 · openalex publication_date 2013/02/06 · arxiv updated 2013/02/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We describe an exact test of the null hypothesis that a Markov chain is nth order versus the alternate hypothesis that it is (n+1)-th order. The procedure does not rely on asymptotic properties, but instead builds up the test statistic distribution via surrogate data and is valid for any sample size. Surrogate data are generated using a novel algorithm that guarantees, per shot, a uniform sampling from the set of sequences that exactly match the nth order properties of the observed data.