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Hypotheses Testing: Poisson Versus Self-exciting

Research paper by Serguei Dachian, Yury A. Kutoyants

Indexed on: 26 Mar '09Published on: 26 Mar '09Published in: Mathematics - Statistics



Abstract

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.