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Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean |
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| Authors: | Yury V. Kozachenko |
| Affiliation: | 1. Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Kyiv, Ukraine;2. Department of Probability Theory and Mathematical Statistics, Faculty of Mathematics and Information Technology, Vasyl Stus Donetsk National University, Vinnytsia, Ukraine |
| Abstract: | In this paper, a new criterion is constructed for testing hypothesis about covariance function of Gaussian stationary stochastic process with an unknown mean. This criterion is based on the fact that we can estimate the deviation of covariance function from its estimator with a given accuracy and reliability in Lp metric. |
| Keywords: | Covariance function stationary Gaussian processes testing hypotheses. |