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Conference Papers Year : 2012

ASYMPTOTIC STATISTICAL ANALYSIS OF STATIONARY ERGODIC TIME SERIES

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Daniil Ryabko
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Abstract

It is shown how to construct asymptotically consistent efficient algorithms for various statistical problems concerning stationary ergodic time series. The considered problems include clustering, hypothesis testing, change-point estimation and others. The presented approach is based on empirical estimates of the distributional distance. Some open problems are also discussed.
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hal-00771128 , version 1 (08-01-2013)

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  • HAL Id : hal-00771128 , version 1

Cite

Daniil Ryabko. ASYMPTOTIC STATISTICAL ANALYSIS OF STATIONARY ERGODIC TIME SERIES. WITMSE 2012, Aug 2012, Amsterdam, Netherlands. ⟨hal-00771128⟩
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