Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications

  • Authors:

  • Juan Carlos Escanciano;David T. Jacho-Chávez

  • Affiliations:

  • Department of Economics, Indiana University, 105 Wylie Hall, 100 South Woodlawn Avenue, Bloomington, IN 47405-7104, USA;Department of Economics, Indiana University, 105 Wylie Hall, 100 South Woodlawn Avenue, Bloomington, IN 47405-7104, USA

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2010

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Abstract

Hidden semi-Markov models are a generalization of the well-known hidden Markov model. They allow for a greater flexibility of sojourn time distributions, which implicitly follow a geometric distribution in the case of a hidden Markov chain. The aim of ...