Hypotheses Testing: Poisson Versus Self-exciting

Details Hypotheses Testing: Poisson Versus Self-exciting Hypotheses Testing: Poisson Versus Self-exciting

2009-03-26

arxiv.org/abs/0903.4636v1

In SCANDINAVIAN J. of STATISTICS 33 391 (2006)

Mathematics

Statistics Theory

23 pages, 6 figures

Scientific paper

We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We consider one-sided parametric and one-sided nonparametric composite alternatives and construct locally asymptotically uniformly most powerful tests. The results of numerical simulations of the tests are presented.

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