Testing stationary processes for independence

Gusztáv Morvai*, Benjamin Weiss

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)1219-1225
Number of pages7
JournalAnnales de l'institut Henri Poincare (B) Probability and Statistics
Volume47
Issue number4
DOIs
StatePublished - Nov 2011

Keywords

  • Hypothesis testing
  • Independent processes

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