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Hypotheses Testing: Poisson Versus Self‐exciting

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  • SERGUEÏ DACHIAN
  • YURY A. KUTOYANTS

Abstract

. We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to the stationary Poisson process with known intensity. The alternatives are stationary self‐exciting point processes. We consider one‐sided parametric and one‐sided non‐parametric composite alternatives and construct locally asymptotically uniformly most powerful tests. The results of numerical simulations of the tests are presented.

Suggested Citation

  • Sergueï Dachian & Yury A. Kutoyants, 2006. "Hypotheses Testing: Poisson Versus Self‐exciting," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 391-408, June.
    • Handle: RePEc:bla:scjsta:v:33:y:2006:i:2:p:391-408
    DOI: 10.1111/j.1467-9469.2005.00484.x
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