Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean

Yury V. Kozachenko and Viktor B. Troshki

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 18, 4556-4567

Abstract: In this paper, a new criterion is constructed for testing hypothesis about covariance function of Gaussian stationary stochastic process with an unknown mean. This criterion is based on the fact that we can estimate the deviation of covariance function from its estimator with a given accuracy and reliability in Lp metric.

Date: 2018
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DOI: 10.1080/03610926.2017.1377253

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