Testing that a Gaussian process is stationary (Q1107939): Difference between revisions
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| Property / DOI: 10.1214/aos/1176351060 / rank | |||
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| Property / reviewed by: Dieter A. M. K. Rasch / rank | |||
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| Property / full work available at URL: https://doi.org/10.1214/aos/1176351060 / rank | |||
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Latest revision as of 15:30, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing that a Gaussian process is stationary |
scientific article |
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Testing that a Gaussian process is stationary (English)
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1988
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A class of procedures is proposed for testing the stationarity of a Gaussian process or the homogeneity of independent processes. Requiring very limited prior knowledge of model structure, the methods can detect changes or differencdance of the difficulties inherent in the estimation problem. For the null hypothesis of no association, a simple and flexible procedure is proposed to calculate the optimal score test. The asymptotic relative efficiency of this test to the test based upon the true exposures is derived.
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chi-squared test
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empirical characteristic function
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time series
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homogeneity of independent processes
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optimal score test
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asymptotic relative efficiency
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