Title :
On hypotheses testing for ergodic processes
Author :
Ryabko, Daniil ; Ryabko, Boris
Author_Institution :
INRIA-Lille Nord Eur., Villeneuve dAscq
Abstract :
We address three problems of statistical analysis of time series: goodness-of-fit (or identity) testing, process discrimination, and the change point problem. For each of the problems we construct a test that is asymptotically accurate for the case when the data is generated by stationary ergodic processes. All problems are solved in a similar way by using empirical estimates of the distributional distance between the processes.
Keywords :
statistical distributions; statistical testing; time series; change point problem; ergodic processes; goodness-of-fit testing; hypotheses testing; process discrimination; statistical analysis; statistical distribution; time series; Concrete; Europe; Frequency; Informatics; Machine learning; Statistical analysis; Statistics; Telecommunication computing; Testing; Zinc;
Conference_Titel :
Information Theory Workshop, 2008. ITW '08. IEEE
Conference_Location :
Porto
Print_ISBN :
978-1-4244-2269-2
Electronic_ISBN :
978-1-4244-2271-5
DOI :
10.1109/ITW.2008.4578669
