Hypotheses testing: Poisson versus stress-release

DOI10.1016/J.JSPI.2008.05.025zbMATH Open1156.62053OpenAlexW1968532723WikidataQ115443401 ScholiaQ115443401MaRDI QIDQ1007422FDOQ1007422

Authors S. Dachian, Yu. A. Kutoyants

Publication date 20 March 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0610961

zbMATH Keywords

Wald testlikelihood ratio testPoisson processhypotheses testingscore-function testself-correcting processstress-release processunit-root AR process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Abstract: We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity against a composite one-sided parametric alternative that this is a self-correcting point process. The underlying family of measures is locally asymptotically quadratic and we describe the behavior of score function, likelihood ratio and Wald tests in the asymptotics of large samples. The results of numerical simulations are presented.

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Cited in

(5)

• Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process
• Some problems in nonparametric inference for the stress release process related to the local time
• On hypothesis testing for Poisson processes: regular case
• Hypotheses Testing: Poisson Versus Self-exciting
• scientific article; zbMATH DE number 125766 (Why is no real title available?)

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