CHERNOFF BOUNDS FOR DISCRIMINATING BETWEEN TWO MARKOV PROCESSES.

Charles Newman, B. W. Stuck

Research output: Contribution to journalArticle

Abstract

A statistical hypothesis testing problem is considered 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, bounds are given 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.

Original languageEnglish (US)
Pages (from-to)139-153
Number of pages15
JournalStochastics
Volume2
Issue number3
StatePublished - 1979

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Markov Process
Markov processes
Log-likelihood Ratio
Infinite Interval
Likelihood Ratio Test
Hypothesis Testing
Continuous Time
State Space
Testing
Asymptotic Behavior
Interval
Observation

ASJC Scopus subject areas

  • Engineering(all)

Cite this

CHERNOFF BOUNDS FOR DISCRIMINATING BETWEEN TWO MARKOV PROCESSES. / Newman, Charles; Stuck, B. W.

In: Stochastics, Vol. 2, No. 3, 1979, p. 139-153.

Research output: Contribution to journalArticle

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