کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1150270 | 957921 | 2006 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Universal codes as a basis for nonparametric testing of serial independence for time series
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We address the problem of nonparametric testing of serial independence for time series and its generalization. More precisely, we consider a stationary and ergodic source p, which generates symbols x1â¦xt from some finite set A and a null hypothesis H0 that p is a Markov source of order at most m,(m⩾0). The alternative hypothesis H1 is that the sequence is generated by a stationary and ergodic source, which differs from the source under H0. In particular, if m=0 we have the null hypothesis H0 that the sequence is generated by a Bernoulli source (i.e. the hypothesis that x1â¦xt are independent). In this paper some new tests that are based on so-called universal codes and universal predictors, are suggested.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 12, 1 December 2006, Pages 4119-4128
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 12, 1 December 2006, Pages 4119-4128
نویسندگان
Boris Ryabko, Jaakko Astola,