Related papers: On a family of test statistics for discretely obse…
We consider a stationary linear AR($p$) model with observations subject to gross errors (outliers). The autoregression parameters are unknown as well as the distribution and moments of innoovations. The distribution of outliers $\Pi$ is…
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
Pearson's Chi-squared test, though widely used for detecting association between categorical variables, exhibits low statistical power in large sparse contingency tables. To address this limitation, two novel permutation tests have been…
We conduct a KL-divergence based procedure for testing elliptical distributions. The procedure simultaneously takes into account the two defining properties of an elliptically distributed random vector: independence between length and…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales. We present a general theorem to…
We propose a robust test for the equality of the covariance structures in two functional samples. The test statistic has a chi-square asymptotic distribution with a known number of degrees of freedom, which depends on the level of dimension…
We introduce a simple method for nearly simultaneous computation of all moments needed for quasi maximum likelihood estimation of parameters in discretely observed stochastic differential equations commonly seen in finance. The method…
For a one dimensional diffusion process $X=\{X(t) ; 0\leq t \leq T \}$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $\tau$, but otherwise it is visible. This means a partially hidden diffusion process. The…
In many applications, hypothesis testing is based on an asymptotic distribution of statistics. The aim of this paper is to clarify and extend multiple correction procedures when the statistics are asymptotically Gaussian. We propose a…
In this paper a robust version of the classical Wald test statistics for linear hypothesis in the logistic regression model is introduced and its properties are explored. We study the problem under the assumption of random covariates…
We introduce a nonparametric model for inferring time-evolving, unobserved probability distributions from discrete-time data consisting of unlabelled partitions. The latent process is a two-parameter Poisson-Dirichlet diffusion, and…
Many important problems in psychology and biomedical studies require testing for overdispersion, correlation and heterogeneity in mixed effects and latent variable models, and score tests are particularly useful for this purpose. But the…
We consider two Ito equations that evolve on different time scales. The equations are fully coupled in the sense that all coefficients may depend on both the "slow" and the "fast" processes and the diffusion terms may be correlated. The…
Analysis of low-degree polynomial algorithms is a powerful, newly-popular method for predicting computational thresholds in hypothesis testing problems. One limitation of current techniques for this analysis is their restriction to…
In this paper, we address high-dimensional parametric estimation of the drift function in diffusion models, specifically focusing on a $d$-dimensional ergodic diffusion process observed at discrete time points. We consider both a general…
We propose a simple single-step multiple testing procedure that asymptotically controls the family-wise error rate (FWER) at the desired level exactly under the equicorrelated multivariate Gaussian setup. The method is shown to be…
Experiments on particles' motion in living cells show that it is often subdiffusive. This subdiffusion may be due to trapping, percolation-like structures, or viscoelatic behavior of the medium. While the models based on trapping (leading…
Most existing methods for testing equality of means of functional data from multiple populations rely on assumptions of equal covariance and/or Gaussianity. In this work we provide a new testing method based on a statistic that is…
The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\xi(t/\varepsilon^2))+b(X^\varepsilon(t),\,\xi(t/\varepsilon^2)),\, t\in [0,T]$ and the discrete time…