Related papers: Nonparametric test for detecting change in distrib…
In this paper we aim to assess linear relationships between the non constant variances of economic variables. The proposed methodology is based on a bootstrap cumulative sum (CUSUM) test. Simulations suggest a good behavior of the test for…
An important assumption in the work on testing for structural breaks in time series consists in the fact that the model is formulated such that the stochastic process under the null hypothesis of "no change-point" is stationary. This…
A validated simulation model primarily requires performing an appropriate input analysis mainly by determining the behavior of real-world processes using probability distributions. In many practical cases, probability distributions of the…
We propose a new nonparametric test for the supposition of independence between two continuous random variables. The test is based on the size of the longest increasing subsequence of a random permutation. We identified the independence…
We investigate the online detection of changepoints in the distribution of a sequence of observations using degenerate U-statistic-type processes. We study weighted versions of: an ordinary, CUSUM-type scheme, a Page-CUSUM-type scheme, and…
In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing…
Strong mixing property holds for a broad class of linear and nonlinear time series models such as ARMA and GARCH models. In this article we study correlation structure of strong mixing sequences, and some asymptotic properties are…
In this paper, we obtain a new characterization result for symmetric distributions based on the entropy measure. Using the characterization, we propose a nonparametric test to test the symmetry of a distribution. We also develop the…
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its…
In the classical two-sample problem, the conventional approach for testing distributions equality is based on the difference between the two marginal empirical distribution functions, whereas a test for independence is based on the contrast…
We introduce fully nonparametric two-sample tests for testing the null hypothesis that the samples come from the same distribution if the values are only indirectly given via current status censoring. The tests are based on the likelihood…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
Non-deterministic measurements are common in real-world scenarios: the performance of a stochastic optimization algorithm or the total reward of a reinforcement learning agent in a chaotic environment are just two examples in which…
Many panel data have the latent subgroup effect on individuals, and it is important to correctly identify these groups since the efficiency of resulting estimators can be improved significantly by pooling the information of individuals…
This article aims to consider a new univariate nonparametric cumulative sum (CUSUM) control chart for small shift of location based on both change-point model and Mann-Whitney statistic. Some comparisons on the performances of the proposed…
We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…
We consider the problem of testing whether two finite-dimensional random dot product graphs have generating latent positions that are independently drawn from the same distribution, or distributions that are related via scaling or…
Given two networks of differing sizes, it is of interest to test whether the two networks belong to the same distribution. We formalize the notion of "equality of distribution" under the framework of the generalized random dot product…
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional means across panels using a weighted least squares regression.…
We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are…