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 MoreMetadata
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.
Published in: 2008 IEEE Information Theory Workshop
Date of Conference: 05-09 May 2008
Date Added to IEEE Xplore: 25 July 2008
ISBN Information: