A criterion for testing hypotheses about the covariance function of a stationary Gaussian stochastic process

DOI10.15559/15-VMSTA17zbMath1349.62384arXiv1503.05379OpenAlexW2561484010MaRDI QIDQ341087

Viktor Troshki, Yuriy Vasil'ovich Kozachenko

Publication date: 16 November 2016

Published in: Random Operators and Stochastic Equations, Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05379

zbMATH Keywords

compressive sensingrestricted isometry propertycorrelogramcriterion for testing hypothesessquare Gaussian stochastic process\(\phi\)-sub-Gaussian space

Mathematics Subject Classification ID

Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Large deviations (60F10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

On test for checking hypothesis on expectation and covariance function of stochastic process ⋮ A new criterion for testing hypothesis about the covariance function of the homogeneous and isotropic random field ⋮ On statistical properties of the estimator of impulse response function ⋮ Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean

Cites Work

• A test for a hypothesis on the correlation function of Gaussian random processes
• On the properties of an empirical correlogram of a Gaussian process with square integrable spectral density
• On asymptotic normality of estimates for correlation functions of stationary Gaussian processes in the space of continuous functions
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