Detecting Whether a Stochastic Process is Finitely Expressed in a Basis

Neda Mohammadi; Victor M. Panaretos

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arXiv · 2111.01542

Detecting Whether a Stochastic Process is Finitely Expressed in a Basis

Neda Mohammadi·Victor M. Panaretos

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Abstract

Is it possible to detect if the sample paths of a stochastic process almost surely admit a finite expansion with respect to some/any basis? The determination is to be made on the basis of a finite collection of discretely/noisily observed sample paths. We show that it is indeed possible to construct a hypothesis testing scheme that is almost surely guaranteed to make only finitely many incorrect decisions as more data are collected. Said differently, our scheme almost certainly detects whether the process has a finite or infinite basis expansion for all sufficiently large sample sizes. Our approach relies on Cover's classical test for the irrationality of a mean, combined with tools for the non-parametric estimation of covariance operators.

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Neda Mohammadi, Victor M. Panaretos. 2021-11-02. Detecting Whether a Stochastic Process is Finitely Expressed in a Basis. https://arxiv.org/abs/2111.01542

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