Related papers: High-Frequency Jump Tests: Which Test Should We Us…
This paper explores conditions of existence of different types of consistent tests. New links of these types of consistency are also established. The existence of discernible (strong consistent) tests follows from the existence of pointwise…
Ensuring the long-term reproducibility of data analyses requires results stability tests to verify that analysis results remain within acceptable variation bounds despite inevitable software updates and hardware evolutions. This paper…
As researchers, we already understand how to make testing more effective and efficient at finding bugs. However, as fuzzing (i.e., automated testing) becomes more widely adopted in practice, practitioners are asking: Which assurances does a…
Motivated by the widespread adoption of large-scale A/B testing in industry, we propose a new experimentation framework for the setting where potential experiments are abundant (i.e., many hypotheses are available to test), and observations…
It is difficult to choose detection thresholds for tests of non-stationarity that assume {\em a priori} a noise model if the data is statistically uncharacterized to begin with. This is a potentially serious problem when an automated…
We describe a statistical hypothesis test for the presence of a signal based on the likelihood ratio statistic. We derive the test for a case of interest and also show that for that case the test works very well, even far out in the tails…
Score-based statistical models play an important role in modern machine learning, statistics, and signal processing. For hypothesis testing, a score-based hypothesis test is proposed in \cite{wu2022score}. We analyze the performance of this…
Recently Hui et al. (2018) use F tests for testing a subset of random effect, demonstrating its computational simplicity and exactness when the first two moment of the random effects are specified. We extended the investigation of the F…
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Multiplicative Error Model (AJM), which accounts for a…
We analyze different types of simulations that applied researchers can use to assess whether their inference methods reliably control false-positive rates. We show that different assessments involve trade-offs, varying in the types of…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…
This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular…
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value…
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In…
A quantum system subjected to a strong continuous monitoring undergoes quantum jumps. This very well known fact hides a neglected subtlety: sharp scale-invariant fluctuations invariably decorate the jump process even in the limit where the…
It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying…
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular…
The frequency response function (FRF) is an established way to describe the outcome of experiments in posture control literature. The FRF is an empirical transfer function between an input stimulus and the induced body segment sway profile,…
Experiments often yield non-identically distributed data for statistical analysis. Tests of hypothesis under such set-ups are generally performed using the likelihood ratio test, which is non-robust with respect to outliers and model…
There is growing interest in conducting small-scale tests to gain additional insight into the fracture behaviour of components across a wide range of materials. For example, micro-scale mechanical tests inside of a microscope (\emph{in…