Related papers: Detecting distributional changes in samples of ind…
This paper proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in applied work. In particular, we consider the correct…
We study the distribution of maxima (Extreme Value Statistics) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former…
Given a set of independent Poisson random variables with common mean, we study the distribution of their maximum and obtain an accurate asymptotic formula to locate the most probable value of the maximum. We verify our analytic results with…
In this paper, a novel approach to the problem of estimating the heavy-tail exponent alpha>0 of a distribution is proposed. It is based on the fact that block-maxima of size m of the independent and identically distributed data scale at a…
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statistics both under the null hypothesis and contiguous local…
In environmental science applications, extreme events frequently exhibit a complex spatio-temporal structure, which is difficult to describe flexibly and estimate in a computationally efficient way using state-of-art parametric…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
The analysis of record-breaking events is of interest in fields such as climatology, hydrology or anthropology. In connection with the record occurrence, we propose three distribution-free statistics for the changepoint detection problem.…
In this paper we consider the estimation problem for high quantiles of a heavy-tailed distribution from block data when only a few largest values are observed within blocks. We propose estimators for high quantiles and prove that these…
We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time points land in asymptotically small sets) and Extreme Value Theory (distribution properties of the partial…
Motivated by the problem of testing for the existence of a signal of known parametric structure and unknown ``location'' (as explained below) against a noisy background, we obtain for the maximum of a centered, smooth random field an…
The aim of sequential change-point detection is to issue an alarm when it is thought that certain probabilistic properties of the monitored observations have changed. This work is concerned with nonparametric, closed-end testing procedures…
The maximum likelihood method offers a standard way to estimate the three parameters of a generalized extreme value (GEV) distribution. Combined with the block maxima method, it is often used in practice to assess the extreme value index…
The beta model is the most important distribution for fitting data with the unit interval. However, the beta distribution is not suitable to model bimodal unit interval data. In this paper, we propose a bimodal beta distribution constructed…
The problem of detecting variance breaks in the case of smooth time-varying variance structure is studied. It is highlighted that the tests based on (piecewise) constant specification of the variance are not able to distinguish between…
The stochastic block model is a popular tool for studying community structures in network data. We develop a goodness-of-fit test for the stochastic block model. The test statistic is based on the largest singular value of a residual matrix…
Probabilistic model checking can provide formal guarantees on the behavior of stochastic models relating to a wide range of quantitative properties, such as runtime, energy consumption or cost. But decision making is typically with respect…
In the study of phase transitions a very few models are accessible to exact solution. In the most cases analytical simplifications have to be done or some numerical technique has to be used to get insight about their critical properties.…
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…
We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints,…