Related papers: Nonparametric tests for detecting breaks in the ju…
In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a statistical test that is particularly sensitive…
This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data sets from plasma physics with observable two-regimes…
We study tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and heavy-tailed increments. We determine the asymptotics for tail probabilities for the area.
We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss differentials have infinite variance, the Diebold-Mariano test…
We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…
In model checking for regressions, nonparametric estimation-based tests usually have tractable limiting null distributions and are sensitive to oscillating alternative models, but suffer from the curse of dimensionality. In contrast,…
We extend the mathematical model based on stochastic differential equations describing the error gained by an atomic clock to the cases of anomalous behavior including jumps and an increase of instability. We prove an exact iterative…
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
We introduce a new framework for constructing tests of general semiparametric hypotheses which have nontrivial power on the $n^{-1/2}$ scale in every direction, and can be tailored to put substantial power on alternatives of importance. The…
We are concerned with the absolute continuity of stationary distributions corresponding to some piecewise deterministic Markov process, being typically encountered in biological models. The process under investigation involves a…
Measuring time means counting the occurrence of periodic phenomena. Over the past centuries a major effort was put to make stable and precise oscillators to be used as clock regulators. Here we consider a different class of clocks based on…
In this paper nonparametric methods to assess the multivariate L\'{e}vy measure are introduced. Starting from high-frequency observations of a L\'{e}vy process $\mathbf{X}$, we construct estimators for its tail integrals and the…
We develop a practical framework for distinguishing diffusive stochastic processes from deterministic signals using only a single discrete time series. Our approach is based on classical excursion and crossing theorems for continuous…
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely…
In this paper the nonparametric quantile regression model is considered in a location-scale context. The asymptotic properties of the empirical independence process based on covariates and estimated residuals are investigated. In particular…
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models…
In a functional setting, we propose two test statistics to highlight the Poisson nature of a Cox process when n copies of the process are available. Our approach involves a comparison of the empirical mean and the empirical variance of the…
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…
This article proposes different tests for treatment effect heterogeneity when the outcome of interest, typically a duration variable, may be right-censored. The proposed tests study whether a policy 1) has zero distributional (average)…