Author/Authors :
MANSOURI، B نويسنده Department of Statistics, University of Shahid Chamran, Ahvaz, I. R. Iran , , CHINIPARDAZ، R نويسنده Department of Statistics, University of Shahid Chamran, Ahvaz, I. R. Iran , , Parham، G. A. نويسنده ,
Abstract :
The problem of discrimination between two stationary AR(p) plus noise processes is considered
when the noise process are different in two models. The discrimination rule leads to a quadratic form with
cumbersome matrices. An approximate and analytic form is given to distribution of the discriminant. The
simulation study has been used to show the performance of discrimination rule. The cumulants of
discriminant function are obtained and show them to be very close to the true values given in literature.
