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On large deviations in testing simple hypotheses for locally stationary Gaussian processes
| Content Provider | Semantic Scholar |
|---|---|
| Author | Tecuapetla-Gomez, Inder Nussbaum, Michael |
| Copyright Year | 2012 |
| Abstract | We derive a large deviation result for the log-likelihood ratio for testing simple hypotheses in locally stationary Gaussian processes. This result allows us to find explicitly the rates of exponential decay of the error probabilities of type I and type II for Neyman–Pearson tests. Furthermore, we obtain the analogue of classical results on asymptotic efficiency of tests such as Stein’s lemma and the Chernoff bound, as well as the more general Hoeffding bound concerning best possible joint exponential rates for the two error probabilities. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.math.cornell.edu/~nussbaum/papers/12-1.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Analog Chernoff bound Gaussian process Normal Statistical Distribution Polycystic Ovary Syndrome Probability Stationary process exponential likelihood ratio |
| Content Type | Text |
| Resource Type | Article |
