Adaptive tests for stochastic processes in the ergodic case

DOI10.1016/0304-4149(93)90059-DzbMath0770.62071MaRDI QIDQ1208955

Harald Luschgy, Igor Vajda, Andrew. L. Rukhin

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityGaussian processesautoregressive processesadaptive testsergodic casegrowing time intervalnecessary and sufficient adaptation conditionnuissance parameterStein lemma

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Conditions equivalent to consistency of approximate MLE's for stochastic processes ⋮ Adaptive decision making for stochastic processes ⋮ Unnamed Item

Cites Work

• Distances and discrimination rates for stochastic processes
• Asymptotic optimal inference for non-ergodic models
• Theory of statistical inference and information. Transl. from the Slovak by the author
• Adaptive tests in statistical problems with finite nuisance parameter
• On Gaussian Fields with Given Conditional Distributions
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