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
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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,