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Testing proportionality for autoregressive processes

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1 Author(s)
Drouiche, K. ; CNRS, Univ. de Cergy Pontoise, Neuville Sur Oise, France

We introduce a new hypothesis test to determine wether or not two autoregressive spectral densities are proportional. A test for autoregressive coefficient ity or randomness is deduced. We also derive the exact asymptotic behavior for these tests under parametric alternatives and show that, given a significance level, our tests are the most powerful (MP) tests among all tests.

Published in:

Information Theory, IEEE Transactions on  (Volume:49 ,  Issue: 3 )