An application of the Neyman--Oearson lemma to Gaussian processes
Zapiski Nauchnykh Seminarov POMI, Studies in mathematical statistics. Part 10, Tome 207 (1993), pp. 5-12
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Let $\xi(t)$, $i=1,2$, $t\in[0,1]$, be Gaussian zero mean processes with continuous sample paths. Bounds for the probabilities
$$
\beta_i=\mathsf P\{\xi_i(t)-a_i(t)\in B\},\qquad i=1,2,
$$
are given, where $a_i\in C[0,1]$ and $B$ is a Borel subset of $C[0,1]$. Bibliography: 5 titles.
@article{ZNSL_1993_207_a0,
author = {N. K. Bakirov},
title = {An application of the {Neyman--Oearson} lemma to {Gaussian} processes},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {5--12},
publisher = {mathdoc},
volume = {207},
year = {1993},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZNSL_1993_207_a0/}
}
N. K. Bakirov. An application of the Neyman--Oearson lemma to Gaussian processes. Zapiski Nauchnykh Seminarov POMI, Studies in mathematical statistics. Part 10, Tome 207 (1993), pp. 5-12. http://geodesic.mathdoc.fr/item/ZNSL_1993_207_a0/