Related papers: A nonparametric test for a constant correlation ma…
In this paper, we propose a new test for the detection of a change in a non-linear (auto-)regressive time series as well as a corresponding estimator for the unknown time point of the change. To this end, we consider an at-most-one-change…
Non-asymptotic theory of random matrices strives to investigate the spectral properties of random matrices, which are valid with high probability for matrices of a large fixed size. Results obtained in this framework find their applications…
We consider nonparametric testing in a non-asymptotic framework. Our statistical guarantees are exact in the sense that Type I and II errors are controlled for any finite sample size. Meanwhile, one proposed test is shown to achieve minimax…
We consider tests of significance in the setting of the graphical lasso for inverse covariance matrix estimation. We propose a simple test statistic based on a subsequence of the knots in the graphical lasso path. We show that this…
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…
Nonparametric and nonlinear measures of statistical dependence between pairs of random variables are important tools in modern data analysis. In particular the emergence of large data sets can now support the relaxation of linearity…
Standard tests of the "no-treatment-effect" hypothesis for a comparative experiment include permutation tests, the Wilcoxon rank sum test, two-sample $t$ tests, and Fisher-type randomization tests. Practitioners are aware that these…
For a bivariate time series $((X_i,Y_i))_{i=1,...,n}$ we want to detect whether the correlation between $X_i$ and $Y_i$ stays constant for all $i = 1,...,n$. We propose a nonparametric change-point test statistic based on Kendall's tau and…
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…
In this article, we propose a new method for the fundamental task of testing for dependence between two groups of variables. The response densities under the null hypothesis of independence and the alternative hypothesis of dependence are…
In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the…
We consider tests of hypotheses when the parameters are not identifiable under the null in semiparametric models, where regularity conditions for profile likelihood theory fail. Exponential average tests based on integrated profile…
We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate…
Change point analysis has become an important research topic in many fields of applications. Several research work has been carried out to detect changes and its locations in time series data. In this paper, a nonparametric method based on…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…
This article considers a nonparametric method for detecting change points in non-stationary time series. The proposed method will divide the time series into several segments so that between two adjacent segments, the normalized spectral…
We propose several statistics to test the Markov hypothesis for $\beta$-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman--Kolmogorov equation. We establish the asymptotic null distributions…
Statistical inference based on lossy or incomplete samples is often needed in research areas such as signal/image processing, medical image storage, remote sensing, signal transmission. In this paper, we propose a nonparametric testing…
In this paper we propose using a nonparametric model specification test for parametric time series with long-range dependence (LRD). To establish asymptotic distributions of the proposed test statistic, we develop new central limit theorems…
A unified framework is proposed for tests of unobserved heterogeneity in parametric statistic models based on Neyman's $C(\alpha)$ approach. Such tests are irregular in the sense that the first order derivative of the log likelihood with…