Uniform hypothesis testing for ergodic time series distributions

MaRDI QIDQ6226691zbMATH OpenFDO

Authors Daniil Ryabko

Publication date 21 July 2011

Abstract: Given a discrete-valued sample $X_1,\mathrm{...},X_n$ we wish to decide whether it was generated by a distribution belonging to a family $H_0$, or it was generated by a distribution belonging to a family $H_1$. In this work we assume that all distributions are stationary ergodic, and do not make any further assumptions (e.g. no independence or mixing rate assumptions). We would like to have a test whose probability of error (both Type I and Type II) is uniformly bounded. More precisely, we require that for each $epsilon$ there exist a sample size $n$ such that probability of error is upper-bounded by $epsilon$ for samples longer than $n$. We find some necessary and some sufficient conditions on $H_0$ and $H_1$ under which a consistent test (with this notion of consistency) exists. These conditions are topological, with respect to the topology of distributional distance.

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