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Uniform hypothesis testing for ergodic time series distributions

IEEE Region International Conference on Computational Technologies in Electrical and Electronics Engineering (ICCTEEE), 2010
21 July 2011
D. Ryabko
ArXiv (abs)PDFHTML
Abstract

Given a discrete-valued sample X1,...,XnX_1,...,X_nX1​,...,Xn​ we wish to decide whether it was generated by a distribution belonging to a family H0H_0H0​, or it was generated by a distribution belonging to a family H1H_1H1​. In this work we assume that all distributions are stationary ergodic, and do not make any further assumptions (e.g. no independence or mixing rate assumptions). We would like to have a test whose probability of error (both Type I and Type II) is uniformly bounded. More precisely, we require that for each ϵ\epsilonϵ there exist a sample size nnn such that probability of error is upper-bounded by ϵ\epsilonϵ for samples longer than nnn. We find some necessary and some sufficient conditions on H0H_0H0​ and H1H_1H1​ under which a consistent test (with this notion of consistency) exists. These conditions are topological, with respect to the topology of distributional distance.

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