Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean

ABSTRACT

In this paper, a new criterion is constructed for testing hypothesis about covariance function of Gaussian stationary stochastic process with an unknown mean. This criterion is based on the fact that we can estimate the deviation of covariance function from its estimator with a given accuracy and reliability in L_p metric.

KEYWORDS:

• Covariance function
• stationary Gaussian processes
• testing hypotheses.

MATHEMATICS SUBJECT CLASSIFICATION:

• Primary 68P30
• Secondary 68W20

Acknowledgments

The authors express their gratitude to the referees for valuable comments that helped to improve the paper.

Additional information

Funding

This work was supported under Visegrad Scholarship Program-EaP [grant number № 51601704].