Tables for processes with exponential white noise
Techniques de contrôle de prévision à court terme
Tendency Towards Normality of Linear Combinations of Random Variables.
Test de hipótesis para contrastar modelos MARMA de series temporales.
El propósito de este artículo es revisar, relacionar e interpretar tests de hipótesis, tipo score, para contrastar la especificación de modelos de series temporales múltiples, así como obtener unos resultados sobre los estadísticos asociados, lo más simples posibles, a fin de utilizarlos en la etapa de identificación de los modelos.
Test for submodel in Gibbs-Markov binary random sequence
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 hypothesis for the shift parameter in diffusion processes
Testing in stationary models based on divergences of observed and theoretical frequencies
Testing linearity and modelling nonlinear time series
Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given data set, a statistical test is required. In this paper, we develop such a test of a linear hypothesis versus a general composite nonparametric alternative using the state space representation of the SV model as an errors-in-variables AR(1) model. The power of the test is analyzed. We provide a simulation study and apply the test to the HFDF96...
Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case
The testing problem on the first-order autoregressive parameter in finite sample case is considered. The innovations are distributed according to the exponential distribution. The aim of this paper is to study how much the size of this test changes when, at some time k, an innovation outlier contaminant occurs. We show that the test is rather sensitive to these changes.
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.
Testing the independence of two Poisson processes.
Tests for the presence of trends in linear processes [Book]
Tests simultanés de permutation des rangs pour bruit-blanc multivarié
The Asymptotic Properties of Maximum Likelihood Estimators for Marked Poisson Processes with a Cyclic Intensity Measure.
The Average Number of Events Per Time Unit and its Estimation.
The Behaviour of the Lagrangian Multiplier Test in Testing the Orders of an ARMA-Model.