An impossibility result for process discrimination

Abstract

International audienceTwo series of binary observations $x_1,x_1,\dots$ and $y_1,y_2,\dots$ are presented: at each time $n\in\N$ we are given $x_n$ and $y_n$. It is assumed that the sequences are generated independently of each other by two B-processes. We are interested in the question of whether the sequences represent a typical realization of two different processes or of the same one. We demonstrate that this is impossible to decide, in the sense that every discrimination procedure is bound to err with non-negligible frequency when presented with sequences from some B-processes. This contrasts earlier positive results on B-processes, in particular those showing that there are consistent $\bar d$-distance estimates for this class of processes