Nonparametric Statistical Inference for Ergodic Processes

被引：13

作者：

Ryabko, Daniil ^{[1
]}

Ryabko, Boris ^{[2
]}

机构：

[1] INRIA Lille Nord Europe, SequeL, F-59650 Villeneuve Dascq, France

[2] Russian Acad Sci, Siberian State Univ Telecommun & Informat, Inst Computat Technol, Siberian Branch, Novosibirsk 630102, Russia

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 2010年 / 56卷 / 03期

基金：

俄罗斯基础研究基金会;

关键词：

Change point problem; goodness-of-fit test; non-parametric hypothesis testing; process classification; stationary ergodic processes; TIME-SERIES; UNIVERSAL CODES; INDEPENDENCE; HOMOGENEITY;

D O I：

10.1109/TIT.2009.2039169

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this work, a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary ergodic. Namely, three problems are considered: goodness-of-fit (or identity) testing, process classification, and the change point problem. For each of the problems a test is constructed that is asymptotically accurate for the case when the data is generated by stationary ergodic processes. The tests are based on empirical estimates of distributional distance.

引用

页码：1430 / 1435

页数：6

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