Discrimination between B-processes is impossible

DOI10.1007/S10959-009-0263-1MaRDI QIDQ975335zbMATH OpenOpenAlexFDO

Authors Daniil Ryabko

Publication date 9 June 2010

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-009-0263-1

zbMATH Keywords

time seriesstationary ergodic processeshomogeneity testing\(B\)-processesprocess discrimination

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
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• scientific article; zbMATH DE number 918233 (Why is no real title available?)
• Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
• How sampling reveals a process
• Hypothesis testing for families of ergodic processes
• Limits to consistent on-line forecasting for ergodic time series
• On classifying processes
• On density estimation from ergodic processes
• Prediction of random sequences and universal coding
• Some Sufficient Conditions on an Arbitrary Class of Stochastic Processes for the Existence of a Predictor
• Testing composite hypotheses about discrete ergodic processes
• The \(\bar d\)-recognition of processes
• The interactions between ergodic theory and information theory
• Two divergence-rate counterexamples

Cited in

(7)

• scientific article; zbMATH DE number 7639721 (Why is no real title available?)
• Testing composite hypotheses about discrete ergodic processes
• Approximation with ergodic processes and testability
• On universal algorithms for classifying and predicting stationary processes
• Countable alphabet stationary processes with at least one memory word and intermittent estimation with universal rates
• Uniform hypothesis testing for finite-valued stationary processes
• Nonparametric multiple change point estimation in highly dependent time series

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