Hypotheses Testing: Poisson Versus Self-exciting

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We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We consider one-sided parametric and one-sided nonparametric composite alternatives and construct locally asymptotically uniformly most powerful tests. The results of numerical simulations of the tests are presented.
23 pages, 6 figures

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Statistics Theory

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http://salesiana.dossiersoluciones.com/handle/123456789/224820

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0903.4636
 http://arxiv.org/abs/0903.4636
 In SCANDINAVIAN J. of STATISTICS 33 391 (2006)

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arXiv