Related papers: High-Frequency Jump Tests: Which Test Should We Us…
Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodology to investigate ultra-high frequency financial data and…
This paper develops robust test procedures for testing the intercept of a simple regression model when it is \textit{apriori} suspected that the slope has a specified value. Defining unrestricted test (UT), restricted test (RT) and pre-test…
Ideally, all analyses of normally distributed data should include the full covariance information between all data points. In practice, the full covariance matrix between all data points is not always available. Either because a result was…
We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditions, we establish convergence of the test statistic to an…
After some general remarks about the interrelation between philosophical and statistical thinking, the discussion centres largely on significance tests. These are defined as the calculation of $p$-values rather than as formal procedures for…
This article deals with the problem of testing conditional independence between two random vectors ${\bf X}$ and ${\bf Y}$ given a confounding random vector ${\bf Z}$. Several authors have considered this problem for multivariate data.…
The statistical analysis of discrete data has been the subject of extensive statistical research dating back to the work of Pearson. In this survey we review some recently developed methods for testing hypotheses about high-dimensional…
We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are…
Regression Testing is exclusively executed to guarantee the desirable functionality of existing software after pursuing quite a few amendments or variations in it. Perhaps, it testifies the quality of the modified software by concealing the…
Since model selection is ubiquitous in data analysis, reproducibility of statistical results demands a serious evaluation of reliability of the employed model selection method, no matter what label it may have in terms of good properties.…
This paper proposes a novel framework to test for slope heterogeneity between time-varying coefficients in panel data models. Our test not only allows us to detect whether the coefficient functions are the same across all units or not, but…
This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time…
Confidence limits are common place in physics analysis. Great care must be taken in their calculation and use, especially in cases of limited statistics when often one-sided limits are quoted. In order to estimate the stability of the…
We study the frequentist properties of confidence intervals for the On-Off problem. The methods include all those in common use today. We derive explicit formulas for the limits and calculate the true coverage and the expected lengths of…
Time averaging has been the traditional approach to handle mixed sampling frequencies. However, it ignores information possibly embedded in high frequency. Mixed data sampling (MIDAS) regression models provide a concise way to utilize the…
In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a sum-type test procedure, which exhibits high performance when…
Permutation testing in linear models, where the number of nuisance coefficients is smaller than the sample size, is a well-studied topic. The common approach of such tests is to permute residuals after regressing on the nuisance covariates.…
New testing and development procedures and methods are needed to address topics like power system stability, operation and control in the context of grid integration of rapidly developing smart grid technologies. In this context, individual…
In a randomised clinical trial, when the result of the primary endpoint shows a significant benefit, the secondary endpoints are scrutinised to identify additional effects of the treatment. However, this approach entails a risk of…
We revisit the fundamental question of simple-versus-simple hypothesis testing with an eye towards computational complexity, as the statistically optimal likelihood ratio test is often computationally intractable in high-dimensional…