Uniform hypothesis testing for ergodic time series distributions
Abstract
Given a discrete-valued sample we wish to decide whether it was generated by a distribution belonging to a family , or it was generated by a distribution belonging to a family . In this work we assume that all distributions are stationary ergodic, and do not make any further assumptions (e.g. no independence or mixing rate assumptions). We would like to have a test whose probability of error (both Type I and Type II) is uniformly bounded. More precisely, we require that for each there exist a sample size such that probability of error is upper-bounded by for samples longer than . We find some necessary and some sufficient conditions on and under which a consistent test (with this notion of consistency) exists. These conditions are topological, with respect to the topology of distributional distance.
Cite
@article{arxiv.1107.4165,
title = {Uniform hypothesis testing for ergodic time series distributions},
author = {Daniil Ryabko},
journal= {arXiv preprint arXiv:1107.4165},
year = {2014}
}
Comments
arXiv admin note: substantial overlap with arXiv:0905.4937