Performance and Robustness Analysis of Sequential Hypotheses Testing for Time Series with Trend

  • Alexey Kharin Belarusian State Universitiy
  • Ton That Tu Belarusian State Universitiy, Da Nang University of Education

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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Published
2017-04-12
How to Cite
Kharin, A., & Tu, T. T. (2017). Performance and Robustness Analysis of Sequential Hypotheses Testing for Time Series with Trend. Austrian Journal of Statistics, 46(3-4), 23-36. https://doi.org/https://doi.org/10.17713/ajs.v46i3-4.668
Section
Special Issue CDAM conference