A test for the independence of two Gaussian processes
Let \(Z=(X,Y)'\) be a zero mean bivariate Gaussian process observed in some region \(\Omega\) in \(R^ r\), with covariance \[ \Sigma (s,t,\rho)= \begin{pmatrix} \Sigma_{11}(s,t) & \rho\Sigma_{12}(s,t) \\ \rho\Sigma_{21}(s,t) & \Sigma_{22}(s,t) \end{pmatrix} \] where \(\{\Sigma_{ij}(s,t)\}\) are known functions, and \(\rho\) is an unknown parameter. A test of \(H_ 0: \rho =0\), locally equivalent to the likelihood ratio test, and an unbiased estimate of \(\rho\) are given for the case when \(\Omega\) is a finite set. There are two distinct situations in the case when \(\Omega\) has a positive Lebesgue measure. The first one is similar to the finite case. In the second situation a test of \(H_ 0\) may be constructed, with power at a given value of \(\rho\) arbitrarily close to 1, and a consistent estimate of \(\rho\) is given.
- A test for a hypothesis on the correlation function of Gaussian random processes
- A Cramér-von Mises test for Gaussian processes
- An equality test for variances of two complex correlated Gaussian processes
- scientific article; zbMATH DE number 4123099
- Testing that a Gaussian process is stationary
- A random-projection based test of Gaussianity for stationary processes
- General tests of conditional independence based on empirical processes indexed by functions
- A criterion for testing hypotheses about the covariance function of a Gaussian stationary process
- A criterion of hypothesis testing for the covariance function of Gaussian stochastic processes
- scientific article; zbMATH DE number 3862148
- Accurate confidence intervals for distributions with one parameter
- Fredholm theory for arbitrary measure spaces
- scientific article; zbMATH DE number 3338262 (Why is no real title available?)
- scientific article; zbMATH DE number 3357742 (Why is no real title available?)
- Linear Statistical Inference and its Applications
- Testing that a Gaussian process is stationary
- On Behrens-Fisher problem for continuous time Gaussian processes
- An equality test for variances of two complex correlated Gaussian processes
- scientific article; zbMATH DE number 1515780 (Why is no real title available?)
- Second-order comparison of Gaussian random functions and the geometry of DNA minicircles
- A Cramér-von Mises test for Gaussian processes
This page was built for publication: A test for the independence of two Gaussian processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q760741)
