ar X iv : 0 90 3 . 46 36 v 1 [ m at h . ST ] 2 6 M ar 2 00 9 Hypotheses Testing : Poisson Versus Self - Exciting
نویسنده
چکیده
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.
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تاریخ انتشار 2009