On hypotheses testing for ergodic processes

We address three problems of statistical analysis of time series: goodness-of-fit (or identity) testing, process discrimination, and the change point problem. For each of the problems we construct a test that is asymptotically accurate for the case when the data is generated by stationary ergodic pr...

Full description

Saved in:
Bibliographic Details
Main Authors: Ryabko, D., Ryabko, B.
Format: Conference Proceeding
Language:English
Subjects:
Concrete
Europe
Frequency
Informatics
Machine learning
Statistical analysis
Statistics
Telecommunication computing
Testing
Zinc
Online Access:Request full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We address three problems of statistical analysis of time series: goodness-of-fit (or identity) testing, process discrimination, and the change point problem. For each of the problems we construct a test that is asymptotically accurate for the case when the data is generated by stationary ergodic processes. All problems are solved in a similar way by using empirical estimates of the distributional distance between the processes.
DOI:10.1109/ITW.2008.4578669