Related papers: Nonparametric tests for detecting breaks in the ju…
In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its…
This paper introduces a copula-based model for independent but non-identically distributed data with heteroscedastic extremes marginal and changing tail dependence structures. We establish a unified framework for inference by proving the…
In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying…
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…
Split-plot or repeated measures designs are frequently used for planning experiments in the life or social sciences. Typical examples include the comparison of different treatments over time, where both factors may possess an additional…
We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general -…
We study asymptotic properties of spatially non-homogeneous random walks with non-integrable increments, including transience, almost-sure bounds, and existence and non-existence of moments for first-passage and last-exit times. In our…
We propose a nonparametric sequential test that aims to address two practical problems pertinent to online randomized experiments: (i) how to do a hypothesis test for complex metrics; (ii) how to prevent type $1$ error inflation under…
We prove It{\^o}'s formula for the flow of measures associated with a jump process defined by a drift, an integral with respect to a Poisson random measure and with respect to the associated compensated Poisson random measure. We work in…
To address the difficult problem of multi-step ahead prediction of non-parametric autoregressions, we consider a forward bootstrap approach. Employing a local constant estimator, we can analyze a general type of non-parametric time series…
Animal interval timing is often studied through the peak interval (PI) procedure. In this procedure, the animal is rewarded for the first response after a fixed delay from the stimulus onset, but on some trials, the stimulus remains and no…
We consider specification and inference for the stochastic scale of discretely-observed pure-jump semimartingales with locally stable L\'{e}vy densities in the setting where both the time span of the data set increases, and the mesh of the…
We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We…
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection…
We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-$k$, where each local window uses a fixed number of observations, and large-$k$, where this number grows with…
The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the…
Frequently, clinical trials and observational studies involve complex event history data with multiple events. When the observations are independent, the analysis of such studies can be based on standard methods for multi-state models.…
We propose a sequential nonparametric test for detecting a change in distribution, based on windowed Kolmogorov--Smirnov statistics. The approach is simple, robust, highly computationally efficient, easy to calibrate, and requires no…
Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric simulation scheme, the multivariate extreme events spectral…
We consider long-range dependent data. It is shown that the bootstrapped empirical process of these data converges to a semi-degenerate limit. The random part of this limit is always Gaussian. Thus the bootstrap might fail when the original…