Related papers: Change Point in Panel Data with Small Fixed Panel …
This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the panels in the form of a common factor. A CUSUM type estimator is proposed, and we establish first…
We study ratio metrics in A/B testing at the presence of correlation among observations coming from the same user and provides practical guidance especially when two metrics contradict each other. We propose new estimating methods to…
We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditions, we establish convergence of the test statistic to an…
This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the…
It is difficult to choose detection thresholds for tests of non-stationarity that assume {\em a priori} a noise model if the data is statistically uncharacterized to begin with. This is a potentially serious problem when an automated…
In this paper, we introduce a new method for testing the stationarity of time series, where the test statistic is obtained from measuring and maximising the difference in the second-order structure over pairs of randomly drawn intervals.…
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a…
We propose a new statistical test to identify non-stationary frequency-modulated stochastic processes from time series data. Our method uses the instantaneous phase as a discriminatory statistics with reliable critical values derived from…
We consider the testing and estimation of change-points -- locations where the distribution abruptly changes -- in a data sequence. A new approach, based on scan statistics utilizing graphs representing the similarity between observations,…
To maintain the desired quality of a product or service it is necessary to monitor the process that results in the product or service. This monitoring method is called Statistical Process Management, or Statistical Process Control. It is in…
The presence of outlying observations may adversely affect statistical testing procedures that result in unstable test statistics and unreliable inferences depending on the distortion in parameter estimates. In spite of the fact that the…
Biometric recognition is used across a variety of applications from cyber security to border security. Recent research has focused on ensuring biometric performance (false negatives and false positives) is fair across demographic groups.…
Contemporary statistical publications rely on simulation to evaluate performance of new methods and compare them with established methods. In the context of meta-analysis of log-odds-ratios, we investigate how the ways in which simulations…
Practical problems with missing data are common, and statistical methods have been developed concerning the validity and/or efficiency of statistical procedures. On a central focus, there have been longstanding interests on the mechanism…
The stochastic block model is a popular tool for detecting community structures in network data. Detecting the difference between two community structures is an important issue for stochastic block models. However, the two-sample test has…
Structural change detection problems are often encountered in analytics and econometrics, where the performance of a model can be significantly affected by unforeseen changes in the underlying relationships. Although these problems have a…
A new method based on the rejection sampling for finding statistical tests is proposed. This method is conceptually intuitive, easy to implement, and applicable for arbitrary dimension. To illustrate its potential applicability, three…
Motivated by an example from remote sensing of gas emission sources, we derive two novel change point procedures for multivariate time series where, in contrast to classical change point literature, the changes are not required to be…
Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the…