We provide the asymptotic minimax detection boundary for a bump, i.e. an abrupt change, in the mean function of a dependent Gaussian process. This will be characterized in terms of the asymptotic behaviour of the bump length and height as well as the dependency structure of the process. A major finding is that for stationary processes the asymptotic minimax detection boundary is generically determined by the value of is spectral density at zero. Hence, a positive long-run variance makes detection harder whereas a negative long-run variance eases bump detection. Finally, our asymptotic analysis is complemented by non-asymptotic results for the subclass of AR( @math ) processes and confirmed to serve as a good proxy for finite sample scenarios in a simulation study. Our proofs are based on laws of large numbers for non-independent and non-identically distributed arrays of random variables and the asymptotically sharp analysis of the precision matrix of the process.
Suppose that one observes a process Y on the unit interval, where dY(t) = n 1 2f(t)dt + dW(t) with an unknown function parameter f, given scale parameter n N > 1 (sample size) and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such as monotonicity or concavity. These tests are asymptotically optimal and adaptive in a certain sense. They are constructed via a new class of multiscale statistics and an extension of Levy's modulus of continuity of Brownian Motion.