Title
A data driven runs test to identify first order positive Markovian dependence
DOI
https://doi.org/10.15672/HJMS.2015559562
Document Type
Article
Publication Date
1-1-2016
Publication Title
Hacettepe Journal of Mathematics and Statistics
Abstract
We propose a data driven test to identify first order positive Markovian dependence in a Bernoulli sequence, based on a combination of two runs tests: a well known runs test for the same purpose conditional on the numbers of ones in the sequence, and a modified runs test independent of the number of ones. We give analytic expressions for the exact distribution of the modified runs test statistic and for its power; also we built an algorithm to calculate it explicitly. To compare the power of the tests, we calculated these for some values of the proportion of ones and the success probability. We show that there are some intervals for the success probability in which the new runs test surpasses the power of the conditional test, and that the data driven test improves the power of the two runs tests, when they are considered separately.
Volume
45
Issue
2
First Page
521
Last Page
540
Recommended Citation
Corzo, Jimmy A. and Vergara, Myrian E., "A data driven runs test to identify first order positive Markovian dependence" (2016). Scopus Unisalle. 401.
https://ciencia.lasalle.edu.co/scopus_unisalle/401
Identifier
SCOPUS_ID:84964039901