Adaptive tests for stochastic processes in the ergodic case

Harald Luschgy, Andrew L. Rukhin and Igor Vajda

Stochastic Processes and their Applications, 1993, vol. 45, issue 1, 45-59

Abstract: A hypothesis testing problem for two processes is considered. A test which is asymptotically efficient for specified pairs of null hypotheses and alternatives is called adaptive. A necessary and sufficient adaptation condition in the ergodic case is obtained. Several examples with explicitly constructed adaptive tests are studied.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(93)90059-D
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:45:y:1993:i:1:p:45-59

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().