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Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis
Noise Hypothesis HAC Inference Automatic nonparametric tests Adaptive rate-optimality
2011/7/5
A new test is proposed for the weak white noise null hypothesis. The test is based on an automatic choice of the order for a Box-Pierce or Hong test statistic.
Stochastic evolutions driven by non-linear white noise
Stochastic evolutions non-linear white noise
2009/9/21
We prove the existence and uniqueness theorem for
stochastic differential equation8 with bounded coefficients driven by
the renormalized square of white noise. These equations are interpreted
as se...
Asymptotic equivalence of spectral density estimation and gaussian white noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence
2010/3/18
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary
Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence,
in the sense of Le Cam...
Sample eigenvalue based detection of high dimensional signals in white noise using relatively few samples
SSP-DETC Detection SAM-SDET Source detection
2010/4/29
The detection and estimation of signals in noisy, limited data is a problem of interest to many scientific and engineering communities. We present a mathematically justifiable, computationally simple,...