Related papers: Testing for breaks in variance structures with smo…
The issue of variance components testing arises naturally when building mixed-effects models, to decide which effects should be modeled as fixed or random. While tests for fixed effects are available in R for models fitted with lme4, tools…
We present an extension to the robust phase estimation protocol, which can identify incorrect results that would otherwise lie outside the expected statistical range. Robust phase estimation is increasingly a method of choice for…
Topological data analysis is an emerging area in exploratory data analysis and data mining. Its main tool, persistent homology, has become a popular technique to study the structure of complex, high-dimensional data. In this paper, we…
This work deals with the stability analysis of nonlinear sampled-data systems under nonuniform sampling. It establishes novel relationships between the stability property of the exact discrete-time model for a given sequence of (aperiodic)…
The performance of a number of different measures of nonlinearity in a time series is compared numerically. Their power to distinguish noisy chaotic data from linear stochastic surrogates is determined by Monte Carlo simulation for a number…
For many real data, long term observation consists of different processes that coexist or occur one after the other. Those processes very often exhibit different statistical properties and thus before the further analysis the observed data…
A method is presented to tackle the sign problem in the simulations of systems having indefinite or complex-valued measures. In general, this new approach is shown to yield statistical errors smaller than the crude Monte Carlo using…
In this article we consider importance sampling (IS) and sequential Monte Carlo (SMC) methods in the context of 1-dimensional random walks with absorbing barriers. In particular, we develop a very precise variance analysis for several IS…
The damage detection problem in mechanical systems, using vibration measurements, is commonly called Structural Health Monitoring (SHM). Many tools are able to detect damages by changes in the vibration pattern, mainly, when damages induce…
This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data sets from plasma physics with observable two-regimes…
Elastic systems that are spatially heterogeneous in their mechanical response pose special challenges for molecular simulations. Standard methods for sampling thermal fluctuations of a system's size and shape proceed through a series of…
When permutation methods are used in practice, often a limited number of random permutations are used to decrease the computational burden. However, most theoretical literature assumes that the whole permutation group is used, and methods…
This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a…
Forecasting risk (as measured by quantiles) and systemic risk (as measured by Adrian and Brunnermeiers's (2016) CoVaR) is important in economics and finance. However, past research has shown that predictive relationships may be unstable…
Strong mixing property holds for a broad class of linear and nonlinear time series models such as ARMA and GARCH models. In this article we study correlation structure of strong mixing sequences, and some asymptotic properties are…
In reliable decision-making systems based on machine learning, models have to be robust to distributional shifts or provide the uncertainty of their predictions. In node-level problems of graph learning, distributional shifts can be…
We analyze the accuracy and sample complexity of variational Monte Carlo approaches to simulate the dynamics of many-body quantum systems classically. By systematically studying the relevant stochastic estimators, we are able to: (i) prove…
Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. This paper establishes testing procedures to detect a possible common change in means of the…
In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…