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Limit theorems and testing hypotheses on Markov chains
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A. V. Nagaev
Veröffentlicht/Copyright:
1. Dezember 2003
We consider the optimal tests based on the likelihood ratio for discriminating between two Markov chains having a common finite phase space ℒ. Their risks are expressed in terms of probabilities of large deviations for sum of random variables defined on another Markov chain with the phase space ℒ × ℒ. Both simple and composite alternatives are considered. The established asymptotic formulas for the considered risks are precise.
Published Online: 2003-12-01
Published in Print: 2003-12-01
Copyright 2003, Walter de Gruyter
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Artikel in diesem Heft
- Constantin Constantinovich Mardzhanishvili (to the centenary of the birth)
- Structural equivalence of s-tuples in random discrete sequences
- Limit theorems and testing hypotheses on Markov chains
- On the complexity of unitary transformations
- Inert matrices and matchings in partially oriented trees
- On primitive subgroups of full affine groups of finite semi-fields
- A semi on-line algorithm for the partition problem
- On limit theorems for the generalised allocation scheme
- On the number and structure of sum-free sets in a segment of positive integers
Artikel in diesem Heft
- Constantin Constantinovich Mardzhanishvili (to the centenary of the birth)
- Structural equivalence of s-tuples in random discrete sequences
- Limit theorems and testing hypotheses on Markov chains
- On the complexity of unitary transformations
- Inert matrices and matchings in partially oriented trees
- On primitive subgroups of full affine groups of finite semi-fields
- A semi on-line algorithm for the partition problem
- On limit theorems for the generalised allocation scheme
- On the number and structure of sum-free sets in a segment of positive integers
