Generalized p value for multivariate Gaussian stochastic processes in continuous time

Mar Fenoy (), Pilar Ibarrola and Juan B. Seoane-Sepúlveda ()
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Mar Fenoy: Universidad Complutense de Madrid
Pilar Ibarrola: Universidad Complutense de Madrid
Juan B. Seoane-Sepúlveda: Universidad Complutense de Madrid

Statistical Papers, 2019, vol. 60, issue 6, No 9, 2013-2030

Abstract: Abstract We construct a Generalized p value for testing statistical hypotheses on the comparison of mean vectors in the sequential observation of two continuous time multidimensional Gaussian processes. The mean vectors depend linearly on two multidimensional parameters and with different conditions about their covariance structures. The invariance of the generalized p value considered is proved under certain linear transformations. We report results of a simulation study showing power and errors probabilities for them. Finally, we apply our results to a real data set.

Keywords: Generalized p value; Hypothesis testing; Continuous time; Multivariate Behrens–Fisher problem; Primary: 62M09; Secondary: 62H12 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00362-017-0907-7

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