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.
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页码：461 / 473
页数：13
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