Related papers: Empirical likelihood test in a posteriori change-p…
We consider the problem of sequentially testing a simple null hypothesis versus a composite alternative hypothesis that consists of a finite set of densities. We study sequential tests that are based on thresholding of mixture-based…
Model change detection is studied, in which there are two sets of samples that are independently and identically distributed (i.i.d.) according to a pre-change probabilistic model with parameter $\theta$, and a post-change model with…
Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some…
We propose a testing procedure based on the Wilcoxon two-sample test statistic in order to test for change-points in the mean of long-range dependent data. We show that the corresponding self-normalized test statistic converges in…
A restrictive assumption in change point analysis is "stationarity under the null hypothesis of no change-point", which is crucial for asymptotic theory but not very realistic from a practical point of view. For example, if change point…
We study a marginal empirical likelihood approach in scenarios when the number of variables grows exponentially with the sample size. The marginal empirical likelihood ratios as functions of the parameters of interest are systematically…
Given independent samples from P and Q, two-sample permutation tests allow one to construct exact level tests when the null hypothesis is P=Q. On the other hand, when comparing or testing particular parameters $\theta$ of P and Q, such as…
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…
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…
In this paper we propose a new test of heteroscedasticity for parametric regression models and partial linear regression models in high dimensional settings. When the dimension of covariates is large, existing tests of heteroscedasticity…
Model checking plays an important role in linear regression as model misspecification seriously affects the validity and efficiency of regression analysis. In practice, model checking is often performed by subjectively evaluating the plot…
This paper considers the problem of testing whether there exists a solution satisfying certain non-negativity constraints to a linear system of equations. Importantly and in contrast to some prior work, we allow all parameters in the system…
We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields…
We propose three test criteria each of which is appropriate for testing, respectively, the equivalence hypotheses of symmetry, of homogeneity, and of independence, with multivariate data. All quantities have the common feature of involving…
In multiple change-point problems, different data segments often follow different distributions, for which the changes may occur in the mean, scale or the entire distribution from one segment to another. Without the need to know the number…
The plausibility of the ``parallel trends assumption'' in Difference-in-Differences estimation is usually assessed by a test of the null hypothesis that the difference between the average outcomes of both groups is constant over time before…
Suppose that a sequence of data points follows a distribution of a certain parametric form, but that one or more of the underlying parameters may change over time. This paper addresses various natural questions in such a framework. We…
For estimating the proportion of false null hypotheses in multiple testing, a family of estimators by Storey (2002) is widely used in the applied and statistical literature, with many methods suggested for selecting the parameter $\lambda$.…
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…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…