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The problem of testing changes in covariance has received increasing attention in recent years, especially in the context of high-dimensional testing. A number of approaches have been proposed, all limited to the two-sample problem and…

The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…

A statistical test based on the geometric mean is proposed to determine if a predictive model should be rejected or not, when the quantity of interest is a strictly positive continuous random variable. A simulation study is performed to…

The higher criticism of a family of tests starts with the individual uncorrected p-values of each test. It then requires a procedure for deciding whether the collection of p-values indicates the presence of a real effect and if possible…

We discuss methods currently in use for determining the significance of peaks in the periodograms of time series. We discuss some general methods for constructing significance tests, false alarm probability functions, and the role played in…

Many multiple testing procedures make use of the p-values from the individual pairs of hypothesis tests, and are valid if the p-value statistics are independent and uniformly distributed under the null hypotheses. However, it has recently…

If we know that some kind of sequence always converges, we can ask how quickly and how uniformly it converges. Many convergent sequences converge non-uniformly and, relatedly, have no computable rate of convergence. However proof-theoretic…

In this article, we consider the complete independence test of high-dimensional data. Based on Chatterjee coefficient, we pioneer the development of quadratic test and extreme value test which possess good testing performance for…

We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…

This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…

Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external…

Bell tests are of profound statistical nature. Besides physical considerations, the proper understanding of their implications should involve detailed statistical analyses. In this regard, recent works have shown that their consequences and…

Hypothesis testing is a statistical inference approach used to determine whether data supports a specific hypothesis. An important type is the two-sample test, which evaluates whether two sets of data points are from identical…

Financial statement fraud detection is an important problem with a number of design aspects to consider. Issues such as (i) problem representation, (ii) feature selection, and (iii) choice of performance metrics all influence the perceived…

This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…

We investigate the significance of change-points within fully nonparametric regression contexts, with a particular focus on panel data where data generation processes vary across units, and error terms may display complex dependency…

The problem of testing mutually exclusive hypotheses with dependent test statistics is considered. Bayesian and frequentist approaches to multiplicity control are studied and compared to help gain understanding as to the effect of test…

Genetic investigations often involve the testing of vast numbers of related hypotheses simultaneously. To control the overall error rate, a substantial penalty is required, making it difficult to detect signals of moderate strength. To…

We consider sequential hypothesis testing based on observations which are received in groups of random size. The observations are assumed to be independent both within and between the groups. We assume that the group sizes are independent…

Interpreting experimental data in high school experiments can be a difficult task for students, especially when there is large variation in the data. At the same time, calculating the standard deviation poses a challenge for students. In…