• 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