2017 •
Performance and Robustness Analysis of Sequential Hypotheses Testing for Time Series with Trend
Authors: Alexey Kharin, Ton That Tu
Venue: Austrian Journal of Statistics
Type: Publication
Abstract: The problem of sequential testing of simple hypotheses for time series with a trend is considered. Analytic expressions and asymptotic expansions for error probabilities and expected numbers of observations are obtained. Robustness analysis is performed. Numerical results are given.
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