DocumentCode
2920388
Title
Testing composite hypotheses about discrete-valued stationary processes
Author
Ryabko, Daniil
Author_Institution
INRIA Lille-Nord Eur., Villeneuve-d´Ascq, France
fYear
2010
fDate
6-8 Jan. 2010
Firstpage
1
Lastpage
5
Abstract
Given a discrete-valued sample X1,...,Xn we wish to test whether it was generated by a stationary ergodic process belonging to a family H0, or it was generated by a stationary ergodic process outside H0. Apart from the assumptions of stationarity and ergodicity, no further probabilistic or parametric assumptions are made. We require the Type I error of the test to be uniformly bounded, while the probability of Type II error has to tend to zero as the sample size increases. For this notion of consistency we provide necessary and sufficient conditions on the family H0 for the existence of a consistent test. This criterion is illustrated with applications to testing for a membership to parametric families, generalizing some existing results.
Keywords
probability; composite hypotheses testing; discrete-valued stationary processes; parametric families; stationary ergodic process; Convergence; Europe; H infinity control; Hidden Markov models; Markov processes; Parametric statistics; Probability; Sufficient conditions; Testing; Topology;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Theory (ITW 2010, Cairo), 2010 IEEE Information Theory Workshop on
Conference_Location
Cairo
Print_ISBN
978-1-4244-6372-5
Type
conf
DOI
10.1109/ITWKSPS.2010.5503154
Filename
5503154
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