Related papers: Sequential testing for structural stability in app…
We propose a test for a change in the mean for a sequence of functional observations that are only partially observed on subsets of the domain, with no information available on the complement. The framework accommodates important scenarios,…
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector…
Financial statement auditing is conducted under a risk-based evidence approach to obtain reasonable assurance. In practice, auditors often perform additional sampling or related procedures when an initial sample does not provide a…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
The task of monitoring for a change in the mean of a sequence of Bernoulli random variables has been widely studied. However most existing approaches make at least one of the following assumptions, which may be violated in many real-world…
Sequential (online) change-point detection involves continuously monitoring time-series data and triggering an alarm when shifts in the data distribution are detected. We propose an algorithm for real-time identification of alterations in…
This paper proposes a novel method for determining the number of factors in linear factor models under stability considerations. An instability measure is proposed based on the principal angle between the estimated loading spaces obtained…
Sequential monitoring in clinical trials is often employed to allow for early stopping and other interim decisions, while maintaining the type I error rate. However, sequential monitoring is typically described only in the context of a…
Corrected confidence intervals are developed for the mean of the second component of a bivariate normal process when the first component is being monitored sequentially. This is accomplished by constructing a first approximation to a…
This paper investigates a statistical procedure for testing the equality of two independently estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
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,…
This paper addresses finite sample stability properties of sequential Monte Carlo methods for approximating sequences of probability distributions. The results presented herein are applicable in the scenario where the start and end…
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 standardized educational testing, test items are reused in multiple test administrations. To ensure the validity of test scores, the psychometric properties of items should remain unchanged over time. In this paper, we consider the…
In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). Determining the number of spikes is a fundamental problem which appears in many scientific…
The sequential multiple testing problem is considered under two generalized error metrics. Under the first one, the probability of at least $k$ mistakes, of any kind, is controlled. Under the second, the probabilities of at least $k_1$…
In this paper, the key objects of interest are the sequential covariance matrices $\mathbf{S}_{n,t}$ and their largest eigenvalues. Here, the matrix $\mathbf{S}_{n,t}$ is computed as the empirical covariance associated with observations…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are (approximately) constant for some time and then slowly start…
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…
Sequential testing problems involve a complex system with several components, each of which is "working" with some independent probability. The outcome of each component can be determined by performing a test, which incurs some cost. The…