Nonparametric Statistical Inference for Ergodic Processes

@article{Ryabko2010NonparametricSI,
  title={Nonparametric Statistical Inference for Ergodic Processes},
  author={Daniil Ryabko and B. Ya. Ryabko},
  journal={IEEE Transactions on Information Theory},
  year={2010},
  volume={56},
  pages={1430-1435}
}
  • D. RyabkoB. Ryabko
  • Published 3 April 2008
  • Mathematics, Computer Science
  • IEEE Transactions on Information Theory
In this work, a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary ergodic. Namely, three problems are considered: goodness-of-fit (or identity) testing, process classification, and the change point problem. For each of the problems a test is constructed that is asymptotically accurate for the case when the data is… 

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