Related papers: A criterion for hypothesis testing for stationary …
In this article, we consider the problem of simultaneous testing of hypotheses when the individual test statistics are not necessarily independent. Specifically, we consider the problem of simultaneous testing of point null hypotheses…
A problem of goodness-of-fit test for ergodic diffusion processes is presented. In the null hypothesis the drift of the diffusion is supposed to be in a parametric form with unknown shift parameter. Two Cramer-Von Mises type test statistics…
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coefficient depends on the finite…
Hypothesis testing and other statistical inference procedures are most efficient when a reliable low-dimensional parametric family can be specified. We propose a method that learns such a family when one exists but its form is not known a…
We study the general problem of testing whether an unknown distribution belongs to a specified family of distributions. More specifically, given a distribution family $\mathcal{P}$ and sample access to an unknown discrete distribution…
Hypothesis testing in the linear regression model is a fundamental statistical problem. We consider linear regression in the high-dimensional regime where the number of parameters exceeds the number of samples ($p> n$). In order to make…
We exhibit an efficient procedure for testing, based on a single long state sequence, whether an unknown Markov chain is identical to or $\varepsilon$-far from a given reference chain. We obtain nearly matching (up to logarithmic factors)…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
This article reviews a class of adaptive group testing procedures that operate under a probabilistic model assumption as follows. Consider a set of $N$ items, where item $i$ has the probability $p$ ($p_i$ in the generalized group testing)…
In this paper, we introduce a new method for testing the stationarity of time series, where the test statistic is obtained from measuring and maximising the difference in the second-order structure over pairs of randomly drawn intervals.…
In this paper, we have established a general framework of multistage hypothesis tests which applies to arbitrarily many mutually exclusive and exhaustive composite hypotheses. Within the new framework, we have constructed specific…
In this article we establish two fundamental results for the sublevel set persistent homology for stationary processes indexed by the positive integers. The first is a strong law of large numbers for the persistence diagram (treated as a…
We study one-sided and $\alpha$-correct sequential hypothesis testing for data generated by an ergodic Markov chain. The null hypothesis is that the unknown transition matrix belongs to a prescribed set $P$ of stochastic matrices, and the…
We present the explicit construction of a stable queue with several servers and impatient customers, under stationary ergodic assumptions. Using a stochastic comparison of the (multivariate) workload sequence with two monotonic stochastic…
Universal outlier hypothesis testing is studied in a sequential setting. Multiple observation sequences are collected, a small subset of which are outliers. A sequence is considered an outlier if the observations in that sequence are…
In existing simulation proof techniques, a single step in a lower-level specification may be simulated by an extended execution fragment in a higher-level one. As a result, it is cumbersome to mechanize these techniques using general…
The asymptotically optimal hypothesis testing problem with the general sources as the null and alternative hypotheses is studied under exponential-type error constraints on the first kind of error probability. Our fundamental philosophy in…
This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a…
Standard high-dimensional factor models assume that the comovements in a large set of variables could be modeled using a small number of latent factors that affect all variables. In many relevant applications in economics and finance,…
An important aspect of multiple hypothesis testing is controlling the significance level, or the level of Type I error. When the test statistics are not independent it can be particularly challenging to deal with this problem, without…