The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process

Kozachenko Yuriy V. () and Sergiienko Mykola P. ()
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Kozachenko Yuriy V.: Taras Shevchenko National University of Kyiv, Kyiv 01033, Ukraine
Sergiienko Mykola P.: Taras Shevchenko National University of Kyiv, Kyiv 01033, Ukraine

Monte Carlo Methods and Applications, 2014, vol. 20, issue 2, 137-144

Abstract: We consider a square Gaussian stochastic process. Estimates of the distribution of some functional of this process are obtained. Tests for a hypothesis concerning the form of the covariance function of a Gaussian stochastic process are constructed.

Keywords: Method of majorizing measures; Orlicz spase; covariance function; correlogram (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:137-144:n:4

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DOI: 10.1515/mcma-2013-0023

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