Testing stationary processes for independence
Morvai, Gusztáv ; Weiss, Benjamin
Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011), p. 1219-1225 / Harvested from Numdam
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Soit H0 la classe de tous les processus indépendants et équidistribués à valeurs réelles, et H1 la classe complémentaire dans l'ensemble des processus ergodiques. Nous donnons un test séquentiel fortement consistant pour les distinguer.

Let H0 denote the class of all real valued i.i.d. processes and H1 all other ergodic real valued stationary processes. In spite of the fact that these classes are not countably tight we give a strongly consistent sequential test for distinguishing between them.

Publié le : 2011-01-01
DOI : https://doi.org/10.1214/11-AIHP426
Classification:  62M07 
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     author = {Morvai, Guszt\'av and Weiss, Benjamin},
     title = {Testing stationary processes for independence},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {47},
     year = {2011},
     pages = {1219-1225},
     doi = {10.1214/11-AIHP426},
     zbl = {1271.62196},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2011__47_4_1219_0}
}

Morvai, Gusztáv; Weiss, Benjamin. Testing stationary processes for independence. Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011) pp. 1219-1225. doi : 10.1214/11-AIHP426. http://gdmltest.u-ga.fr/item/AIHPB_2011__47_4_1219_0/

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