Related papers: Change Point in Panel Data with Small Fixed Panel …
We propose a non-parametric statistical procedure for detecting multiple change-points in multidimensional signals. The method is based on a test statistic that generalizes the well-known Kruskal-Wallis procedure to the multivariate…
Given samples from two non-negative random variables, we propose a family of tests for the null hypothesis that one random variable stochastically dominates the other at the second order. Test statistics are obtained as functionals of the…
The problem of determining the mathematical model of the dynamics of multi-dimensional control systems in the presence of noise under the condition that the correlation functions cannot be found. Known statistical dynamics of linear systems…
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…
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…
Many modern datasets don't fit neatly into $n \times p$ matrices, but most techniques for measuring statistical stability expect rectangular data. We study methods for stability assessment on non-rectangular data, using statistical learning…
Functional panels are collections of functional time series, and arise often in the study of high frequency multivariate data. We develop a portmanteau style test to determine if the cross-sections of such a panel are independent and…
Several statistics-based detectors, based on unimodal matrix models, for determining the number of sources in a field are designed. A new variance ratio statistic is proposed, and its asymptotic distribution is analyzed. The variance ratio…
Considered here is a hypothesis test for the coefficients in the change-plane regression models to detect the existence of a change plane. The test that is considered is from the class of test problems in which some parameters are not…
Learning models or control policies from data has become a powerful tool to improve the performance of uncertain systems. While a strong focus has been placed on increasing the amount and quality of data to improve performance, data can…
A general structural equation model is fitted on a panel data set that consists of $I$ correlated samples. The correlated samples could be data from correlated populations or correlated observations from occasions of panel data. We consider…
In this paper we focus on comparative diagnostic trials which are frequently employed to compare two markers with continuous or ordinal results. We derive explicit expressions for the optimal sampling ratio based on a common variance…
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of variance-covariance matrices of (possibly weighted) asset returns,…
We provide estimation methods for nonseparable panel models based on low-rank factor structure approximations. The factor structures are estimated by matrix-completion methods to deal with the computational challenges of principal component…
Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model.…
Consider two random variables contaminated by two unknown transformations. The aim of this paper is to test the equality of those transformations. Two cases are distinguished: first, the two random variables have known distributions.…
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…
We analyze different data of the variation of the fine structure constant obtained with different methods to check their consistency.We test consistency using the modified Student test and confidence intervals. We split the data sets in…
We propose a method to infer the presence and location of change-points in the distribution of a sequence of independent data taking values in a general metric space, where change-points are viewed as locations at which the distribution of…
The win ratio (WR) is a novel statistic used in randomized controlled trials that can account for hierarchies within event outcomes. In this paper we report and study the long-run non-transitive behavior of the win ratio and the closely…