DISCRIMINANT ANALYSIS IN AR(p) PLUS DIFFERENT NOISES PROCESSES

The problem of discrimination between two stationary AR(p) plus noise processes is considered when the noise process are different in two models. The discrimination rule leads to a quadratic form with cumbersome matrices. An approximate and analytic form is given to distribution of the discriminant. The simulation study has been used to show the performance of discrimination rule. The cumulants of discriminant function are obtained and show them to be very close to the true values given in literature.