Related papers: Nonparametric tests of the Markov hypothesis in co…
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 consider the problem of `discrete-time persistence', which deals with the zero-crossings of a continuous stochastic process, X(T), measured at discrete times, T = n(\Delta T). For a Gaussian Stationary Process the persistence (no…
We prove a limit theorem for an integral functional of a Markov process. The Markovian dynamics is characterized by a linear Boltzmann equation modeling a one-dimensional test particle of mass $\lambda^{-1}\gg 1$ in an external periodic…
We present results of statistical analysis of solar wind turbulence using an approach based on the theory of Markov processes. It is shown that the Chapman-Kolmogorov equation is approximately satisfied for the turbulent cascade. We…
In this work we address the problem of detecting whether a sampled probability distribution of a random variable $V$ has infinite first moment. This issue is notably important when the sample results from complex numerical simulation…
The problem of testing for the parametric form of the conditional variance is considered in a fully nonparametric regression model. A test statistic based on a weighted $L_2$-distance between the empirical characteristic functions of…
We present an approach for testing for the existence of continuous generators of discrete stochastic transition matrices. Typically, the known approaches to ascertain the existence of continuous Markov processes are based in the assumption…
We consider the problem of constructing confidence intervals for nonparametric functional data analysis using empirical likelihood. In this doubly infinite-dimensional context, we demonstrate the Wilks's phenomenon and propose a…
We consider the asymptotic behavior of posterior distributions and Bayes estimators based on observations which are required to be neither independent nor identically distributed. We give general results on the rate of convergence of the…
We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class…
Given samples from two non-negative random variables, we propose a family of tests for the null hypothesis that one random variable stochastically dominates the other at the second order. Test statistics are obtained as functionals of the…
We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. We give explicit formulas for probability generating functions, and also for means, variances and state…
The stochastic theory of relativistic quantum mechanics presented here is modelled on the one that has been proposed previously and that was claimed to be a promising substitute to the orthodox theory in the non-relativistic domain. So it…
We present a robust test for change-points in time series which is based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on the two-sample U-quantile processes, in the case of short…
For downward skip-free continuous-time Markov chains on non-negative integers stopped at zero, existence of a quasi-stationary distribution is studied. The scale function for these processes is introduced and the boundary is classified by a…
There is a well-established theory linking certain semi-Markov chains and continuous-time random walks to time-fractional equations and anomalous diffusion. In this work, we go beyond the semi-Markov framework by considering some…
We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is…
We investigate the asymptotic behavior of several variants of the scan statistic applied to empirical distributions, which can be applied to detect the presence of an anomalous interval with any length. Of particular interest is Studentized…
In this paper, we propose novel, fully Bayesian non-parametric tests for one-sample and two-sample multivariate location problems. We model the underlying distribution using a Dirichlet process prior, and develop a testing procedure based…
How can one determine whether a community-level treatment, such as the introduction of a social program or trade shock, alters agents' incentives to form links in a network? This paper proposes analogues of a two-sample Kolmogorov-Smirnov…