DocumentCode
1158128
Title
Testing proportionality for autoregressive processes
Author
Drouiche, Karim
Author_Institution
CNRS, Univ. de Cergy Pontoise, Neuville Sur Oise, France
Volume
49
Issue
3
fYear
2003
fDate
3/1/2003 12:00:00 AM
Firstpage
672
Lastpage
681
Abstract
We introduce a new hypothesis test to determine wether or not two autoregressive spectral densities are proportional. A test for autoregressive coefficient ity or randomness is deduced. We also derive the exact asymptotic behavior for these tests under parametric alternatives and show that, given a significance level, our tests are the most powerful (MP) tests among all tests.
Keywords
autoregressive processes; random processes; spectral analysis; AR processes; autoregressive coefficient; autoregressive processes; autoregressive spectral density; exact asymptotic behavior; proportionality testing; randomness; significance level; Autoregressive processes; Biology; Gaussian processes; Helium; Parameter estimation; Reliability engineering; Reliability theory; Robustness; Testing; Time series analysis;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/TIT.2002.808122
Filename
1184143
Link To Document