ASYMPTOTIC-BEHAVIOR OF NEYMAN-PEARSON TESTS FOR AUTOREGRESSIVE PROCESSES

被引：0

作者：

LUSCHGY, H

机构：

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 1994年 / 21卷 / 04期

关键词：

KULLBACK-LEIBLER INFORMATION; NEYMAN-PEARSON TESTS; ADAPTIVE TESTS; RATE OF CONVERGENCE OF ERROR PROBABILITIES; PROCESSES WITH INDEPENDENT STATIONARY INCREMENTS; AUTOREGRESSIVE PROCESSES;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For a continuous time autoregressive model, the rate of exponential convergence of the second kind error of Neyman-Pearson tests is derived when the observation time increases to infinity. The assumptions ensure that the Kullback-Leibler information is finite.

引用

页码：461 / 473

页数：13

共 10 条

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