dffuller
commented
6 years ago Well, Markov chains are generally dependent upon the previous state. Otherwise, we could simply use a row vector, rather than a matrix, to describe them. To test for independence, you would simply have to verify that P[X(t+1)=i]=P[X(t+1)=j] for all i,j. In other words, for each column of the probability transformation matrix, the values in each row should be identical.
Hello,
In the Section 5.4 of your package "markovchain", there are four statistical tests described: assessing the Markov property, the order, the stationary of a Markov chain sequence and the divergence test. I wonder is there any test for independence? In other words, how can I test whether Pr( X(t +1) = i | X(t) = j ) = Pr( X(t+1) = i ) is true. (Apologize for my poor format, it should be the lower case rather than brackets)
Many thanks