On hypotheses testing for ergodic processes | IEEE Conference Publication | IEEE Xplore

On hypotheses testing for ergodic processes


Abstract:

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...Show More

Abstract:

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.
Date of Conference: 05-09 May 2008
Date Added to IEEE Xplore: 25 July 2008
ISBN Information:
Conference Location: Porto, Portugal

References

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