English

Uniform hypothesis testing for ergodic time series distributions

Statistics Theory 2014-12-30 v2 Statistics Theory

Abstract

Given a discrete-valued sample X1,...,XnX_1,...,X_n we wish to decide whether it was generated by a distribution belonging to a family H0H_0, or it was generated by a distribution belonging to a family H1H_1. 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 ϵ\epsilon there exist a sample size nn such that probability of error is upper-bounded by ϵ\epsilon for samples longer than nn. We find some necessary and some sufficient conditions on H0H_0 and H1H_1 under which a consistent test (with this notion of consistency) exists. These conditions are topological, with respect to the topology of distributional distance.

Keywords

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

R2 v1 2026-06-21T18:39:49.787Z