Testing stationary processes for independence
Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011) no. 4, pp. 1219-1225.

Soit H0 la classe de tous les processus indépendants et équidistribués à valeurs réelles, et H1 la classe complémentaire dans l'ensemble des processus ergodiques. Nous donnons un test séquentiel fortement consistant pour les distinguer.

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.

DOI : https://doi.org/10.1214/11-AIHP426
Classification : 62M07
Mots clés : independent processes, hypothesis testing
@article{AIHPB_2011__47_4_1219_0,
     author = {Morvai, Guszt\'av and Weiss, Benjamin},
     title = {Testing stationary processes for independence},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {1219--1225},
     publisher = {Gauthier-Villars},
     volume = {47},
     number = {4},
     year = {2011},
     doi = {10.1214/11-AIHP426},
     zbl = {1271.62196},
     language = {en},
     url = {www.numdam.org/item/AIHPB_2011__47_4_1219_0/}
}
Morvai, Gusztáv; Weiss, Benjamin. Testing stationary processes for independence. Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011) no. 4, pp. 1219-1225. doi : 10.1214/11-AIHP426. http://www.numdam.org/item/AIHPB_2011__47_4_1219_0/

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