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Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

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Volume 20, Issue 2


The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process

Yuriy V. Kozachenko / Mykola P. Sergiienko
Published Online: 2014-04-30 | DOI: https://doi.org/10.1515/mcma-2013-0023


We consider a square Gaussian stochastic process. Estimates of the distribution of some functional of this process are obtained. Tests for a hypothesis concerning the form of the covariance function of a Gaussian stochastic process are constructed.

Keywords: Method of majorizing measures; Orlicz spase; covariance function; correlogram

MSC: 60G15; 46E30

About the article

Received: 2013-11-06

Accepted: 2014-04-23

Published Online: 2014-04-30

Published in Print: 2014-06-01

Citation Information: Monte Carlo Methods and Applications, Volume 20, Issue 2, Pages 137–144, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/mcma-2013-0023.

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