Related papers: On Asymptotic Distribution of Parameter Free tests…
In this paper we study goodness-of-fit testing of single-index models. The large sample behavior of certain score-type test statistics is investigated. As a by-product, we obtain asymptotically distribution-free maximin tests for a large…
We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is…
We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion…
We study a stylized multiple testing problem where the test statistics are independent and assumed to have the same distribution under their respective null hypotheses. We first show that, in the normal means model where the test statistics…
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 construct an ensemble distribution to describe steady immiscible two-phase flow of two incompressible fluids in a porous medium. The system is found to be ergodic. The distribution is used to compute macroscopic flow parameters. In…
We consider the problem of detecting sparse heterogeneous mixtures from a nonparametric perspective, and develop distribution-free tests when all effects have the same sign. Specifically, we assume that the null distribution is symmetric…
In a smooth semiparametric model, the marginal posterior distribution of the finite dimensional parameter of interest is expected to be asymptotically equivalent to the sampling distribution of frequentist's efficient estimators. This is…
We consider goodness-of-fit tests for uniformity of a multinomial distribution by means of tests based on a class of symmetric statistics, defined as the sum of some function of cell-frequencies. We are dealing with an asymptotic regime,…
Assume that we have a random sample from an absolutely continuous distribution (univariate, or multivariate) with a known functional form and some unknown parameters. In this paper, we have studied several parametric tests based on…
We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…
We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates…
We study Bayes procedures for the problem of nonparametric drift estimation for one-dimensional, ergodic diffusion models from discrete-time, low-frequency data. We give conditions for posterior consistency and verify these conditions for…
This paper introduces a novel goodness-of-fit test technique for parametric conditional distributions. The proposed tests are based on a residual marked empirical process, for which we develop a conditional Principal Component Analysis. The…
We address the problem of searching for a change point in an anomalous process among a finite set of M processes. Specifically, we address a composite hypothesis model in which each process generates measurements following a common…
Given a finite-valued sample $X_1,...,X_n$ we wish to test whether it was generated by a stationary ergodic process belonging to a family $H_0$, or it was generated by a stationary ergodic process outside $H_0$. We require the Type I error…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
We assume that we observe $N$ independent copies of a diffusion process on a time-interval $[0,2T]$. For a given time $t$, we estimate the transition density $p_t(x,y)$, namely the conditional density of $X_{t + s}$ given $X_s = x$, under…
Asymptotic expansions for a wide class of distribution are studied. A simple method for computation of the series coefficients is suggested. The case when regularization parameter of the distribution depends on the asymptotic parameter is…
A Type-I model of a multicomponent system of fluids with non-constant temperature is derived as the high-friction limit of a Type-II model via a Chapman-Enskog expansion. The asymptotic model is shown to fit into the general theory of…