Related papers: Testing the equality of error distributions from k…
We propose a nonparametric estimator of the empirical distribution function (EDF) of the latent spot variance of the log-price of a financial asset. We show that over a fixed time span our realized EDF (or REDF) -- inferred from noisy…
Many high-dimensional hypothesis tests aim to globally examine marginal or low-dimensional features of a high-dimensional joint distribution, such as testing of mean vectors, covariance matrices and regression coefficients. This paper…
Statistical data is often analyzed as a contingency table, sometimes with empty cells called zeros. Such sparse tables can be due to scarse observations classified in numerous categories, as for example in genetic association studies. Thus,…
Statistical data is often analyzed as a contingency table, sometimes with empty cells called zeros. Such sparse tables can be due to scarse observations classified in numerous categories, as for example in genetic association studies. Thus,…
Understanding statistical inference under possibly non-sparse high-dimensional models has gained much interest recently. For a given component of the regression coefficient, we show that the difficulty of the problem depends on the sparsity…
We derive an exact p-value for testing a global null hypothesis in a general adaptive regression problem. The general approach uses the Kac-Rice formula, as described in (Adler & Taylor 2007). The resulting formula is exact in finite…
We consider the problem of testing for a dose-related effect based on a candidate set of (typically nonlinear) dose-response models using likelihood-ratio tests. For the considered models this reduces to assessing whether the slope…
The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-squared. For local asymptotic power, the distribution against…
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on…
This article proposes different tests for treatment effect heterogeneity when the outcome of interest, typically a duration variable, may be right-censored. The proposed tests study whether a policy 1) has zero distributional (average)…
Assume that we have a random sample from an absolutely continuous distribution (univariate, or multivariate) with a known functional form and some unknown parameters. In this paper, we have studied several parametric tests based on…
Inference and prediction under the sparsity assumption have been a hot research topic in recent years. However, in practice, the sparsity assumption is difficult to test, and more importantly can usually be violated. In this paper, to study…
A non parametric method based on the empirical likelihood is proposed for detecting the change in the coefficients of high-dimensional linear model where the number of model variables may increase as the sample size increases. This amounts…
High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model.…
We consider goodness-of-fit tests of symmetric stable distributions based on weighted integrals of the squared distance between the empirical characteristic function of the standardized data and the characteristic function of the standard…
This paper considers the problem of robust hypothesis testing under non-identically distributed data. We propose Wald-type tests for both simple and composite hypothesis for independent but non-homogeneous observations based on the robust…
In this paper we derive the asymptotic distribution of normalized residual empirical autocovariances and autocorrelations under weak assumptions on the noise. We propose new portmanteau statistics for vector autoregressive moving-average…
Many studies include a goal of determining whether there is treatment effect heterogeneity across different subpopulations. In this paper, we propose a U-statistic-based non-parametric test of the null hypothesis that the treatment effects…
Testing hypotheses of goodness-of-fit about mixture distributions on the basis of independent but not necessarily identically distributed random vectors is considered. The hypotheses are given by a specific distribution or by a family of…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…