Related papers: Regime variance testing - a quantile approach

Testing for change points in sequences of covariance matrices is an important and equally challenging problem in statistical methodology with applications in various fields. Motivated by the observation that even in cases where the ratio…

In this paper we present the two-state vector formalism of quantum mechanics. It is a time-symmetrized approach to standard quantum theory particularly helpful for the analysis of experiments performed on pre- and post-selected ensembles.…

In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…

Change-point detection and locally stationary time series modeling are two major approaches for the analysis of non-stationary data. The former aims to identify stationary phases by detecting abrupt changes in the dynamics of a time series…

We propose a sequential nonparametric test for detecting a change in distribution, based on windowed Kolmogorov--Smirnov statistics. The approach is simple, robust, highly computationally efficient, easy to calibrate, and requires no…

The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…

We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal…

The class of $\alpha$-stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the $\alpha$-stable distributions have been used in practice for many years, new methods for…

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific…

In general terms, intermittency is the property for which time evolving systems alternate among two or more different regimes. Predicting the instance when the regime switch will occur is extremely challenging, often practically impossible.…

Many natural systems undergo critical transitions, i.e. sudden shifts from one dynamical regime to another. In the climate system, the atmospheric boundary layer can experience sudden transitions between fully turbulent states and…

We propose experimentally feasible ways to probe universal features of absorbing phase transitions from two different approaches, both based on numerical validations. On one hand, we numerically study a probability distribution of…

We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…

Measures of discrepancy between probability distributions (statistical distance) are widely used in the fields of artificial intelligence and machine learning. We describe how certain measures of statistical distance can be implemented as…

We study multifractal properties in time evolution of a single particle subject to repeated measurements. For quantum systems, we consider circuit models consisting of local unitary gates and local projective measurements. For classical…

We propose a new statistical test to identify non-stationary frequency-modulated stochastic processes from time series data. Our method uses the instantaneous phase as a discriminatory statistics with reliable critical values derived from…

This work delves into presenting a probabilistic method for analyzing linear process data with weakly dependent innovations, focusing on detecting change-points in the mean and estimating its spectral density. We develop a test for…

Motivated by recent experiments, the theoretical study of wave propagation in time varying materials is of current interest. Although significant in nearly all such experiments, material dispersion is commonly neglected in theoretical…

In standardized educational testing, test items are reused in multiple test administrations. To ensure the validity of test scores, the psychometric properties of items should remain unchanged over time. In this paper, we consider the…

The statistical properties of ions in two-dimensional fully developed turbulence have been compared between two different numerical algorithms. In particular, we compare Hybrid Particle In Cell (hybrid PIC with fluid electrons) and full PIC…