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An \(L_p\)-criterion for testing a hypothesis about the covariance function of a random sequence. (English. Ukrainian original) Zbl 1346.60050
Theory Probab. Math. Stat. 92, 163-173 (2016); translation from Teor. Jmovirn. Mat. Stat. 92, 151-160 (2015).
Summary: An \( L_p\)-criterion for testing a hypothesis about the covariance function for a centered stationary Gaussian sequence is constructed in this paper. The criterion is analyzed for some particular cases by using simulated data.

MSC:
60G15 Gaussian processes
62G10 Nonparametric hypothesis testing
60G10 Stationary stochastic processes
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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References:
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