Related papers: Regime variance testing - a quantile approach
Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…
We consider multivariate two-sample tests of means, where the location shift between the two populations is expected to be related to a known graph structure. An important application of such tests is the detection of differentially…
The two-dimensional one-component plasma is an ubiquitous model for several vortex systems. For special values of the coupling constant $\beta q^2$ (where $q$ is the particles charge and $\beta$ the inverse temperature), the model also…
This paper is concerned with the estimation of time-varying networks for high-dimensional nonstationary time series. Two types of dynamic behaviors are considered: structural breaks (i.e., abrupt change points) and smooth changes. To…
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…
Diverse complex dynamical systems are known to exhibit abrupt regime shifts at bifurcation points of the saddle-node type. The dynamics of most of these systems, however, have a stochastic component resulting in noise driven regime shifts…
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…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
Quantum phase transitions encompass a variety of phenomena that occur in quantum systems exhibiting several possible symmetries. Traditionally, these transitions are explored by continuously varying a control parameter that connects two…
When particles/molecules diffuse in systems that contain obstacles, the steady-state regime (during which the mean-square displacement scales linearly with time, $\left< r^2 \right> \sim t$) is preceded by a transient regime. It is common…
If a given behavior of a multi-agent system restricts the phase variable to a invariant manifold, then we define a phase transition as change of physical characteristics such as speed, coordination, and structure. We define such a phase…
Change-point analysis is a flexible and computationally tractable tool for the analysis of times series data from systems that transition between discrete states and whose observables are corrupted by noise. The change-point algorithm is…
One of the main challenges in identifying structural changes in stochastic processes is to carry out analysis for time series with dependency structure in a computationally tractable way. Another challenge is that the number of true change…
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…
Identifying dependency between two random variables is a fundamental problem. The clear interpretability and ability of a procedure to provide information on the form of possible dependence is particularly important when exploring…
Experimentation platforms in industry must often deal with customer trust issues. Platforms must prove the validity of their claims as well as catch issues that arise. As a central quantity estimated by experimentation platforms, the…
We analyze different data of the variation of the fine structure constant obtained with different methods to check their consistency.We test consistency using the modified Student test and confidence intervals. We split the data sets in…
In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smooth and abrupt structural changes with unknown break dates.…
We propose a novel and unified framework for change-point estimation in multivariate time series. The proposed method is fully nonparametric, enjoys effortless tuning and is robust to temporal dependence. One salient and distinct feature of…
Heterogeneities in the cell membrane due to coexisting lipid phases have been conjectured to play a major functional role in cell signaling and membrane trafficking. Thereby the material properties of multiphase systems, such as the line…