# A criterion for hypothesis testing for stationary processes

2 SEQUEL - Sequential Learning
LIFL - Laboratoire d'Informatique Fondamentale de Lille, Inria Lille - Nord Europe, LAGIS - Laboratoire d'Automatique, Génie Informatique et Signal
Abstract : Given a finite-valued sample $X_1,\dots,X_n$ we wish to test whether it was generated by a stationary ergodic process belonging to a family $H_0$, or it was generated by a stationary ergodic process outside $H_0$. We require the Type I error of the test to be uniformly bounded, while the type II error has to be mande not more than a finite number of times with probability 1. For this notion of consistency we provide necessary and sufficient conditions on the family $H_0$ for the existence of a consistent test. This criterion is illustrated with applications to testing for a membership to parametric families, generalizing some existing results. In addition, we analyze a stronger notion of consistency, which requires finite-sample guarantees on error of both types, and provide some necessary and some sufficient conditions for the existence of a consistent test. We emphasize that no assumption on the process distributions are made beyond stationarity and ergodicity.
Keywords :
Type de document :
Rapport
[Research Report] INRIA Lille. 2009
Domaine :

Littérature citée [12 références]

https://hal.inria.fr/inria-00389689
Contributeur : Daniil Ryabko <>
Soumis le : vendredi 26 décembre 2014 - 23:45:21
Dernière modification le : jeudi 11 janvier 2018 - 06:22:13
Document(s) archivé(s) le : vendredi 27 mars 2015 - 13:50:35

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### Identifiants

• HAL Id : inria-00389689, version 4
• ARXIV : 0905.4937

### Citation

Daniil Ryabko. A criterion for hypothesis testing for stationary processes. [Research Report] INRIA Lille. 2009. 〈inria-00389689v4〉

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