Related papers: On Asymptotically Distribution Free Tests with Par…
We study two nonparametric tests of the hypothesis that a sequence of independent observations is identically distributed against the alternative that at a single change point the distribution changes. The tests are based on the Cramer-von…
In the common time series model $X_{i,n} = \mu (i/n) + \varepsilon_{i,n}$ with non-stationary errors we consider the problem of detecting a significant deviation of the mean function $\mu$ from a benchmark $g (\mu )$ (such as the initial…
Diffusion models, which convert noise into new data instances by learning to reverse a diffusion process, have become a cornerstone in contemporary generative modeling. In this work, we develop non-asymptotic convergence theory for a…
This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time…
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…
We consider parametric estimation for ergodic diffusion processes with noisy sampled data based on the hybrid method, that is, the multi-step estimation with the initial Bayes type estimators. In order to select proper initial values for…
We consider parametric estimation of the continuous part of a class of ergodic diffusions with jumps based on high-frequency samples. Various papers previously proposed threshold based methods, which enable us to distinguish whether…
We develop asymptotic theory for weighted likelihood estimators (WLE) under two-phase stratified sampling without replacement. We also consider several variants of WLEs involving estimated weights and calibration. A set of empirical process…
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 extend a recently established asymptotic normality theorem for generalized linear mixed models to include the dispersion parameter. The new results show that the maximum likelihood estimators of all model parameters have asymptotically…
We propose a new conditional dependence measure and a statistical test for conditional independence. The measure is based on the difference between analytic kernel embeddings of two well-suited distributions evaluated at a finite set of…
Asymptotic local equivalence in the sense of Le Cam is established for inference on the drift in multidimensional ergodic diffusions and an accompanying sequence of Gaussian shift experiments. The nonparametric local neighbourhoods can be…
We are interested to detect periodic signals in Hilbert space valued time series when the length of the period is unknown. A natural test statistic is the maximum Hilbert-Schmidt norm of the periodogram operator over all fundamental…
This paper explores hypothesis testing for the parametric forms of the mean and variance functions in regression models under diverging-dimension settings. To mitigate the curse of dimensionality, we introduce weighted residual empirical…
In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the…
The problems of the construction of the asymptotically distribution free goodness-of-fit tests for three models of stochastic processes are considered. The null hypothesis for all models is composite parametric. All tests are based on the…
This paper establishes the asymptotic independence between the quadratic form and maximum of a sequence of independent random variables. Based on this theoretical result, we find the asymptotic joint distribution for the quadratic form and…
In this paper, our interest is in the problem of simultaneous hypothesis testing when the test statistics corresponding to the individual hypotheses are possibly correlated. Specifically, we consider the case when the test statistics…
We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and drift parameters in ergodic diffusion models. When any…
The mean absolute deviation about the mean is an alternative to the standard deviation for measuring dispersion in a sample or in a population. For stationary, ergodic time series with a finite first moment, an asymptotic expansion for the…