Related papers: Significance Tests for Periodogram Peaks

We propose new statistical tests, in high-dimensional settings, for testing the independence of two random vectors and their conditional independence given a third random vector. The key idea is simple, i.e., we first transform each…

We define some appropriate statistical quantities that indicate the physical significance (reliability) of confidence intervals in the framework of both Frequentist and Bayesian statistical theories. We consider the expectation value of the…

We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…

This paper considers the problem of multi-sample nonparametric comparison of counting processes with panel count data, which arise naturally when recurrent events are considered. Such data frequently occur in medical follow-up studies and…

We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…

Monte Carlo simulations are based on the manipulation of random numbers to evaluate probable outcomes, with applicability in a variety of different fields. By assigning probabilities, which can be determined a priori, to various events, it…

In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These…

An analytical relationship between the statistical significance of an observed signal and the signal width in case of a large background was obtained. It can help to explain why high-energy experiments may have different conclusions on the…

Security in different applications is closely related to the goodness of the sequences generated for such purposes. Not only in Cryptography but also in other areas, it is necessary to obtain long sequences of random numbers or that, at…

We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all tests in a range of empirically relevant…

Privacy risk assessments aim to analyze and quantify the privacy risks associated with new systems. As such, they are critically important in ensuring that adequate privacy protections are built in. However, current methods to quantify…

The paper introduces robust independence tests with non-asymptotically guaranteed significance levels for stochastic linear time-invariant systems, assuming that the observed outputs are synchronous, which means that the systems are driven…

It is well known that if the power spectral density of a continuous time stationary stochastic process does not have a compact support, data sampled from that process at any uniform sampling rate leads to biased and inconsistent spectrum…

Measures of linear dependence (coherence) and nonlinear dependence (phase synchronization) between any number of multivariate time series are defined. The measures are expressed as the sum of lagged dependence and instantaneous dependence.…

We explain in detail how to estimate mean values and assess statistical errors for arbitrary functions of elementary observables in Monte Carlo simulations. The method is to estimate and sum the relevant autocorrelation functions, which is…

Time-series classification has attracted considerable research attention due to the various domains where time-series data are observed, ranging from medicine to econometrics. Traditionally, the focus of time-series classification has been…

The controversy about statistical significance vs. scientific relevance is more than 100 years old. But still nowadays null hypothesis significance testing is considered as gold standard in many empirical fields from economics and social…

Interest in functional time series has spiked in the recent past with papers covering both methodology and applications being published at a much increased pace. This article contributes to the research in this area by proposing a new…

We describe a straightforward modification of frequently invoked methods for the determination of the statistical significance of a gamma-ray signal observed in a counting process. A simple criterion is proposed to decide whether a set of…

Monte Carlo methods to evaluate and maximize the likelihood function enable the construction of confidence intervals and hypothesis tests, facilitating scientific investigation using models for which the likelihood function is intractable.…