Chernoff bounds for discriminating between two markov processes
作者:
C. M. Newman,
B. W. Stuck,
期刊:
Stochastics
(Taylor Available online 1979)
卷期:
Volume 2,
issue 1-4
页码: 139-153
ISSN:0090-9491
年代: 1979
DOI:10.1080/17442507908833121
出版商: Gordon and Breach Science Publishers, Ltd
数据来源: Taylor
摘要:
We study a statistical hypothesis testing problem, where a sample function of a Markov process with one of two sets of known parameters is observed over a finite time interval. When a log likelihood ratio test is used to discriminate between the two sets of parameters, we give bounds on the probability of choosing an incorrect hypothesis, and on the total probability of error, for both discrete and continuous time parameter, and discrete and continuous state space. The asymptotic behavior of the bounds is examined as the observation interval becomes infinite.
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