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March, 1974 Large Sample Discrimination Between Two Gaussian Processes with Different Spectra
Ulf Grenander
Ann. Statist. 2(2): 347-352 (March, 1974). DOI: 10.1214/aos/1176342668

Abstract

We study the probability of error asymptotically for testing one Gaussian stochastic process against another when the mean vectors are zero and we have the choice between two given covariance matrices. It is shown that under certain conditions the probabilities of error form asymptotically a geometric progression with a ratio that is derived. The approach employs Laplace's method of approximating integrals and does not appeal to Fourier analysis; in this sense it can be said to be elementary.

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Ulf Grenander. "Large Sample Discrimination Between Two Gaussian Processes with Different Spectra." Ann. Statist. 2 (2) 347 - 352, March, 1974. https://doi.org/10.1214/aos/1176342668

Information

Published: March, 1974
First available in Project Euclid: 12 April 2007

zbMATH: 0277.62072
MathSciNet: MR356411
Digital Object Identifier: 10.1214/aos/1176342668

Subjects:
Primary: 62M99

Keywords: error probability , Pattern discrimination , Stationary processes

Rights: Copyright © 1974 Institute of Mathematical Statistics

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Vol.2 • No. 2 • March, 1974
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