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Adaptive tests for stochastic processes in the ergodic case

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  • Luschgy, Harald
  • Rukhin, Andrew L.
  • Vajda, Igor

Abstract

A hypothesis testing problem for two processes is considered. A test which is asymptotically efficient for specified pairs of null hypotheses and alternatives is called adaptive. A necessary and sufficient adaptation condition in the ergodic case is obtained. Several examples with explicitly constructed adaptive tests are studied.

Suggested Citation

  • Luschgy, Harald & Rukhin, Andrew L. & Vajda, Igor, 1993. "Adaptive tests for stochastic processes in the ergodic case," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 45-59, March.
    • Handle: RePEc:eee:spapps:v:45:y:1993:i:1:p:45-59
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    Cited by:

    1. Vajda, Igor, 1995. "Conditions equivalent to consistency of approximate MLE's for stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 35-56, March.

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