Related papers: Optimal tests in AR(m) time series model

We show that the mean-model parameter is always orthogonal to the error distribution in generalized linear models. Thus, the maximum likelihood estimator of the mean-model parameter will be asymptotically efficient regardless of whether the…

Verification of temporal logic properties plays a crucial role in proving the desired behaviors of continuous systems. In this paper, we propose an interval method that verifies the properties described by a bounded signal temporal logic.…

Trials enroll a large number of subjects in order to attain power, making them expensive and time-consuming. Sample size calculations are often performed with the assumption of an unadjusted analysis, even if the trial analysis plan…

Some problems of statistics can be reduced to extremal problems of minimizing functionals of smooth functions defined on the cube $[0,1]^m$, $m\geq 2$. In this paper, we study a class of extremal problems that is closely connected to the…

This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or…

This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…

Practical model building processes are often time-consuming because many different models must be trained and validated. In this paper, we introduce a novel algorithm that can be used for computing the lower and the upper bounds of model…

In this contribution we apply an adaptive model hierarchy, consisting of a full-order model, a reduced basis reduced order model, and a machine learning surrogate, to parametrized linear-quadratic optimal control problems. The involved…

The issue of missing values is an arising difficulty when dealing with paired data. Several test procedures are developed in the literature to tackle this problem. Some of them are even robust under deviations and control type-I error quite…

We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any…

A central goal in designing clinical trials is to find the test that maximizes power (or equivalently minimizes required sample size) for finding a false null hypothesis subject to the constraint of type I error. When there is more than one…

We prove optimal convergence estimates for eigenvalues and eigenvectors of a class of singular/stiff perturbed problems. Our profs are constructive in nature and use (elementary) techniques which are of current interest in computational…

Running agent-based models (ABMs) is a burdensome computational task, specially so when considering the flexibility ABMs intrinsically provide. This paper uses a bundle of model configuration parameters along with obtained results from a…

Here an original idea is suggested to prove the existence of optimal control for some types of non- linear problems. The obtained results can be considered as individual existence theorems (in some sense).

This paper investigates adaptive model predictive control (MPC) for a class of constrained linear systems with unknown model parameters. This is also posed as the dual control problem consisting of system identification and regulation. We…

The increment ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2007) for estimating the memory parameter either of a stationary or an increment stationary Gaussian process. Here three extensions are proposed in…

Over the last decade, research on automated parameter tuning, often referred to as automatic algorithm configuration (AAC), has made significant progress. Although the usefulness of such tools has been widely recognized in real world…

Time-to-event endpoints show an increasing popularity in phase II cancer trials. The standard statistical tool for such one-armed survival trials is the one-sample log-rank test. Its distributional properties are commonly derived in the…

We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown that the error structure of the method is characterized by…

Asymmetric causality tests are increasingly gaining popularity in different scientific fields. This approach corresponds better to reality since logical reasons behind asymmetric behavior exist and need to be considered in empirical…