We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Hypotheses Testing: Poisson Versus Self-exciting.
- Authors
DACHIAN, SERGUEÏ; KUTOYANTS, YURY A.
- Abstract
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to the stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We consider one-sided parametric and one-sided non-parametric composite alternatives and construct locally asymptotically uniformly most powerful tests. The results of numerical simulations of the tests are presented.
- Subjects
STATISTICAL hypothesis testing; POISSON processes; POINT processes; STOCHASTIC processes; ASYMPTOTIC distribution; ASYMPTOTIC efficiencies
- Publication
Scandinavian Journal of Statistics, 2006, Vol 33, Issue 2, p391
- ISSN
0303-6898
- Publication type
Article
- DOI
10.1111/j.1467-9469.2005.00484.x