Hypotheses Testing: Poisson Versus Self-exciting
Statistics Theory
2009-03-27 v1 Statistics Theory
Abstract
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We consider one-sided parametric and one-sided nonparametric composite alternatives and construct locally asymptotically uniformly most powerful tests. The results of numerical simulations of the tests are presented.
Cite
@article{arxiv.0903.4636,
title = {Hypotheses Testing: Poisson Versus Self-exciting},
author = {Serguei Dachian and Yury A. Kutoyants},
journal= {arXiv preprint arXiv:0903.4636},
year = {2009}
}
Comments
23 pages, 6 figures