A Consistent Test of Stationary-Ergodicity
针对已知马尔可夫过程，提出一个形式化的平稳遍历性统计检验，可用于检验模型、算法以及忽略估计误差的估计时间序列过程，且易于用标准统计软件实现。
A formal statistical test of stationary-ergodicity is developed for known Markovian processes on ℝ d This makes it applicable to testing models and algorithms, as well as estimated time series processes ignoring the estimation error. The analysis is conducted by examining the asymptotic properties of the Markov operator on density space generated by the transition in the state space. The test is developed under the null of stationary-ergodicity, and it is shown to be consistent against the alternative of nonstationary-ergodicity. The test can be easily performed using any of a number of standard statistical and mathematical computer packages.