Related papers: High-Frequency Jump Tests: Which Test Should We Us…
We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics…
For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important…
In order to determine whether or not an effect is absent based on a statistical test, the recommended frequentist tool is the equivalence test. Typically, it is expected that an appropriate equivalence margin has been specified before any…
In nonstandard testing environments, researchers often derive ad hoc tests with correct (asymptotic) size, but their optimality properties are typically unknown a priori and difficult to assess. This paper develops a numerical framework for…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Fuzz testing has enjoyed great success at discovering security critical bugs in real software. Recently, researchers have devoted significant effort to devising new fuzzing techniques, strategies, and algorithms. Such new ideas are…
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an…
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 connect the power of Confidence Intervals in different Frequentist methods to their reliability. We show that in the case of a bounded parameter a biased method which near the boundary has large power in testing the parameter against…
Comparative evaluation of forecasts of statistical functionals relies on comparing averaged losses of competing forecasts after the realization of the quantity $Y$, on which the functional is based, has been observed. Motivated by…
Multiple testing problems arise naturally in scientific studies because of the need to capture or convey more information with more variables. The literature is enormous, but the emphasis is primarily methodological, providing numerous…
Experimentation platforms in industry must often deal with customer trust issues. Platforms must prove the validity of their claims as well as catch issues that arise. As a central quantity estimated by experimentation platforms, the…
In this article, we describe the regression test process to test and verify the changes made on software. A developed technique use the automation test based on decision tree and test selection process in order to reduce the testing cost is…
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data.…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
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…
In this paper, we present a realized range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset…
Likelihood ratio tests are intuitively appealing. Nevertheless, a number of examples are known in which they perform very poorly. The present paper discusses a large class of situations in which this is the case, and analyzes just how…
Items in a test are often used as a basis for making decisions and such tests are therefore required to have good psychometric properties, like unidimensionality. In many cases the sum score is used in combination with a threshold to decide…
We develop an adaptive jump test for discretely observed high-frequency semimartingales by combining the A"it-Sahalia--Jacod ratio statistic (A"it-Sahalia and Jacod, 2009) and the Lee--Mykland extreme-return statistic (Lee and Mykland,…