Adaptive tests for stochastic processes in the ergodic case

DOI10.1016/0304-4149(93)90059-DMaRDI QIDQ1208955zbMATH OpenFDO

Authors 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)

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• Adaptive tests in statistical problems with finite nuisance parameter
• Asymptotic optimal inference for non-ergodic models
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• Theory of statistical inference and information. Transl. from the Slovak by the author

Cited in

(10)

• A note on prediction for discrete time series
• Adaptive testing of multiple hypotheses for stochastic processes
• Approximation with ergodic processes and testability
• Hypothesis testing for families of ergodic processes
• Testing composite hypotheses about discrete ergodic processes
• scientific article; zbMATH DE number 775919 (Why is no real title available?)
• Asymptotic properties of Rao's test for testing hypotheses in discrete parameter stochastic processes
• Adaptive testing method for ergodic diffusion processes based on high frequency data
• Adaptive decision making for stochastic processes
• Conditions equivalent to consistency of approximate MLE's for stochastic processes

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