Related papers: Detecting distributional changes in samples of ind…
A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties. Most importantly, it is independent of the underlying…
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…
Interval jitter and spike resampling methods are used to analyze the time scale on which temporal correlations occur. They allow the computation of jitter corrected cross correlograms and the performance of an associated statistically…
In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…
Monte Carlo integration is a commonly used technique to compute intractable integrals and is typically thought to perform poorly for very high-dimensional integrals. To show that this is not always the case, we examine Monte Carlo…
We consider a dynamic version of the stochastic block model, in which the nodes are partitioned into latent classes and the connection between two nodes is drawn from a Bernoulli distribution depending on the classes of these two nodes. The…
In this paper new tests for the independence of two high-dimensional vectors are investigated. We consider the case where the dimension of the vectors increases with the sample size and propose multivariate analysis of variance-type…
This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown finite-dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution-free while…
Theory and algorithms are developed for detecting changes in the distribution of statistically periodic random processes. The statistical periodicity is modeled using independent and periodically identically distributed processes, a new…
Many problems in materials science and biology involve particles interacting with strong, short-ranged bonds, that can break and form on experimental timescales. Treating such bonds as constraints can significantly speed up sampling their…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…
We use extreme value theory to estimate the probability of successive exceedances of a threshold value of a time-series of an observable on several classes of chaotic dynamical systems. The observables have either a Fr\'echet (fat-tailed)…
Monte Carlo simulations within the grand canonical ensemble are used to obtain the joint distribution of density and energy fluctuations $p_L(\rho,u)$ for two model fluids: a decorated lattice gas and a polymer system. In the near critical…
The use of continuous probability distributions has been widespread in problems with purely discrete nature. In general, such distributions are not appropriate in this scenario. In this paper, we introduce a class of discrete and asymmetric…
In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These…
This paper presents a novel way to approximate a distribution governing a system of coupled particles with a product of independent distributions. The approach is an extension of mean field theory that allows the independent distributions…
Spatial distributions of heavy particles suspended in an incompressible isotropic and homogeneous turbulent flow are investigated by means of high resolution direct numerical simulations. In the dissipative range, it is shown that particles…
In this paper, we begin our discussion with some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid…
We consider a permutation method for testing whether observations given in their natural pairing exhibit an unusual level of similarity in situations where any two observations may be similar at some unknown baseline level. Under a null…