On large deviations in testing simple hypotheses for locally stationary Gaussian processes

Autor:	Inder Tecuapetla-Gómez, Michael Nussbaum
Rok vydání:	2012
Předmět:	Statistics and Probability Stein's lemma Lemma (mathematics) Exponential function Combinatorics symbols.namesake Chernoff bound symbols Applied mathematics Large deviations theory Exponential decay Gaussian process Hoeffding's inequality Mathematics
Zdroj:	Statistical Inference for Stochastic Processes. 15:225-239
ISSN:	1572-9311 1387-0874
DOI:	10.1007/s11203-012-9071-9
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c771d782f54715547e5199b6255381a2 https://doi.org/10.1007/s11203-012-9071-9 Zobrazit plný text záznamu Full text from SpringerLink