On the Power of Nonparametric Changepoint-Tests.
Optimal sequential multiple hypothesis tests
This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.
Problème d'identification dans le modèle de Cox
Ratio type statistics for detection of changes in mean
Sequential probability ratio tests for stochastic processes: a review note
Some results for the quadratic analysis of Gaussian processes and applications
Statistical problems on point processes
Sur certains problèmes d'estimation et de test concernant la moyenne d'un processus gaussien
Sur la détection d'un signal dans un bruit de Cauchy
Testing a homogeneity of stochastic processes
The paper concentrates on modeling the data that can be described by a homogeneous or non-homogeneous Poisson process. The goal is to decide whether the intensity of the process is constant or not. In technical practice, e.g., it means to decide whether the reliability of the system remains the same or if it is improving or deteriorating. We assume two situations. First, when only the counts of events are known and, second, when the times between the events are available. Several statistical tests...
Testing a sub-hypothesis in linear regression models with long memory covariates and errors
This paper considers the problem of testing a sub-hypothesis in homoscedastic linear regression models when the covariate and error processes form independent long memory moving averages. The asymptotic null distribution of the likelihood ratio type test based on Whittle quadratic forms is shown to be a chi-square distribution. Additionally, the estimators of the slope parameters obtained by minimizing the Whittle dispersion is seen to be -consistent for all values of the long memory parameters...
Testing in stationary models based on divergences of observed and theoretical frequencies
Testing One-Sided Hypotheses for the Mean of a Gaussian Process.
Testing stationary processes for independence
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.
The Behaviour of the Lagrangian Multiplier Test in Testing the Orders of an ARMA-Model.
The optimum sequential test of a finite number of hypotheses for statistically dependent observations
Асимптотическая регулярность семейства мер, соответствующих гауссовскому случайному процессу, содержащему компоненту белого шума, при конечнопараметрическом семействе спектральных плотностей
Критерии проверки непараметрических гипотез для случайных процессов
Слабая допустимость обобщенного последовательного критерия отношения вероятностей для случайных процессов