Testing one-sided hypotheses for the mean of a Gaussian process

DOI10.1007/BF02613610MaRDI QIDQ1181134zbMATH OpenFDO

Authors Harald Luschgy

Publication date 27 June 1992

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/176345

zbMATH Keywords

asymptotically uniformly most powerfulcontinuous zero-mean Gaussian processknown covariance functionlinear stochastic differential systemslocal alternativeslocally most powerful testsinusoidal signal transmissiontesting one-sided hypotheses

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07)

Review text

The author considers the problem of testing one-sided hypotheses w.r.t. the real-valued parameter \(\theta\) in observation models of the form \(X(t)=S(\theta,t)+Z(t)\), \(0\leq t\leq T\), where \(S\) is a known non-random function and \(Z\) is a continuous zero-mean Gaussian process with known covariance function. Under smoothness and integrability conditions on \(S\) he derives a locally most powerful test which is asymptotically uniformly most powerful against local alternatives when \(T\) tends to infinity. As an illustration, several examples (sinusoidal signal transmission in white and coloured noise, linear stochastic differential systems) are studied.

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Cites work

• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3610625 (Why is no real title available?)
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Stochastic processes and statistical inference
• The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance

Cited in

(8)

• Approximations and time-discretization in testing one-sided hypotheses for the mean of a Gaussian process
• Testing Gaussian process with applications to super-resolution
• Testing and Confidence estimation of the Mean of a multidimensional Gaussian Process
• Hypotheses testing for multidimensional Gaussian process
• scientific article; zbMATH DE number 3942738 (Why is no real title available?)
• Hypothesis Testing for Multidimensional Gaussian Process
• scientific article; zbMATH DE number 773968 (Why is no real title available?)
• A Sequential Multi-Hypothesis Test for the Mean Function of a Discrete-Time Gaussian Process

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