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)

Full work available at URL https://doi.org/10.1016/0304-4149(93)90059-D

zbMATH Keywords

adaptive testsasymptotic normalityautoregressive processesergodic caseGaussian processesgrowing 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)

Review text

The hypothesis testing problem for two processes on a growing time interval when the distributions are known only up to a nuissance parameter \(\theta\) is considered. A test which is asymptotically efficient for a specified pair of null hypotheses and alternatives is called adaptive. A necessary and sufficient adaptation condition in the ergodic case is obtained. Several examples (concerning Gaussian processes in discrete and continuous time, and autoregressive processes) with explicitly constructed adaptive tests are studied.

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Cited in

(12)

• Asymptotic properties of Rao's test for testing hypotheses in discrete parameter stochastic processes
• Asymptotic properties of tests for a class of diffusion processes: Optimality and adaptation
• Conditions equivalent to consistency of approximate MLE's for stochastic processes
• Adaptive decision making for stochastic processes
• Testing composite hypotheses about discrete ergodic processes
• Adaptive testing method for ergodic diffusion processes based on high frequency data
• A note on prediction for discrete time series
• scientific article; zbMATH DE number 4201385 (Why is no real title available?)
• Adaptive testing of multiple hypotheses for stochastic processes
• scientific article; zbMATH DE number 775919 (Why is no real title available?)
• Approximation with ergodic processes and testability
• Hypothesis testing for families of ergodic processes

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