Dupuis, Jérôme A. - In: Statistics & Probability Letters 31 (1997) 4, pp. 333-338
The test we develop expresses the null hypothesis in terms of proximity of the distribution of a Markov chain (yt) to the subspace of homogeneous Markov chains. The distance we use is the Kullback distance which turns out to be conceptually appropriate. Departure from the point null hypothesis...