Related papers: Testing for Common Breaks in a Multiple Equations …

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…

Distribution testing is a fundamental statistical task with many applications, but we are interested in a variety of problems where systematic mislabelings of the sample prevent us from applying the existing theory. To apply distribution…

In this paper, we propose a new test for checking the parametric form of the conditional variance based on distance covariance in nonlinear and nonparametric regression models. Inherit from the nice properties of distance covariance, our…

In this paper, we construct a consistent non-parametric test for testing the equality of population medians for different samples when the observations in each sample are independent and identically distributed. This test can be further…

While many methods are available to detect structural changes in a time series, few procedures are available to quantify the uncertainty of these estimates post-detection. In this work, we fill this gap by proposing a new framework to test…

This paper considers the inference of trends in multiple, nonstationary time series. To test whether trends are parallel to each other, we use a parallelism index based on the L2-distances between nonparametric trend estimators and their…

We develop a monitoring procedure to detect changes in a large approximate factor model. Letting $r$ be the number of common factors, we base our statistics on the fact that the $\left( r+1\right) $-th eigenvalue of the sample covariance…

We study a hypothesis testing problem in the context of high-dimensional changepoint detection. Given a matrix $X \in \R^{p \times n}$ with independent Gaussian entries, the goal is to determine whether or not a sparse, non-null fraction of…

We examine the extent to which sublinear-sample property testing and estimation apply to settings where samples are independently but not identically distributed. Specifically, we consider the following distributional property testing…

We provide a distribution-free test that can be used to determine whether any two joint distributions $p$ and $q$ are statistically different by inspection of a large enough set of samples. Following recent efforts from Long et al. [1], we…

Residual-based goodness-of-fit tests for parametric time-series models are often complicated by parameter-estimation effects, which can alter the limiting behavior of diagnostic statistics. We propose a sample-splitting generalized spectral…

Testing for stability in linear panel data models has become an important topic in both the statistics and econometrics research communities. The available methodologies address testing for changes in the mean/linear trend, or testing for…

We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference $\delta$ of the mean vectors before and after the change point is equal to zero, we argue…

In this paper we consider the uniformity testing problem for high-dimensional discrete distributions (multinomials) under sparse alternatives. More precisely, we derive sharp detection thresholds for testing, based on $n$ samples, whether a…

We propose a general framework for constructing powerful, sequential hypothesis tests for a large class of nonparametric testing problems. The null hypothesis for these problems is defined in an abstract form using the action of two known…

In the framework of semiparametric distribution regression, we consider the problem of comparing the conditional distribution functions corresponding to two samples. In contrast to testing for exact equality, we are interested in the (null)…

For a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date. We have T observations with a sampling frequency h over a…

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific…

This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular…

This paper studies the change point problem for a general parametric, univariate or multivariate family of distributions. An information theoretic procedure is developed which is based on general divergence measures for testing the…