Approximations and time-discretization in testing one-sided hypotheses for the mean of a Gaussian process

DOI10.1007/BF02613987zbMath0767.62069OpenAlexW2078332419MaRDI QIDQ1185338

Harald Luschgy

Publication date: 28 June 1992

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176397

zbMATH Keywords

Gaussian processGaussian white noisecontinuous samplingone-sided hypothesesapproximate locally most powerful testsasymptotic effect of discrete samplingnonlinear drift of Wiener process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Cites Work

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• The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Asymptotic methods in statistical decision theory
• Testing one-sided hypotheses for the mean of a Gaussian process
• Gaussian measures in Banach spaces