Related papers: Testing for observation-dependent regime switching…
We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We…
Regulation is an important feature characterising many dynamical phenomena and can be tested within the threshold autoregressive setting, with the null hypothesis being a global non-stationary process. Nonetheless, this setting is debatable…
Accurate knowledge of the null distribution of hypothesis tests is important for valid application of the tests. In previous papers and software, the asymptotic null distribution of likelihood ratio tests for detecting genetic linkage in…
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…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
This note presents conjectures on polynomial/algebraic/sub-exponential convergence of transition probabilities for $\lambda$-null recurrent and $\lambda$-transient Markov chains in continuous time. The only known positive examples are in…
This study aims to evaluate the performance of power in the likelihood ratio test for changepoint detection by bootstrap sampling, and proposes a hypothesis test based on bootstrapped confidence interval lengths. Assuming i.i.d normally…
We propose distribution-free runs-based control charts for detecting location shifts. Using the fact that given the number of total successes, the outcomes of a sequence of Bernoulli trials are random permutations, we are able to control…
We study the change detection problem with an unknown post-change distribution. Under this constraint, the unknown change in the distribution of observations may occur in many ways without much structure on the observations, whereas, before…
Learning-based approaches to verifying unknown Markov decision processes (MDPs) often employ uncertain MDPs. These models use, for example, confidence intervals to capture transition uncertainty and allow synthesis of policies that are…
In subgroup analysis, testing the existence of a subgroup with a differential treatment effect serves as protection against spurious subgroup discovery. Despite its importance, this hypothesis testing possesses a complicated nature:…
A model of Poissonian observation having a jump (change-point) in the intensity function is considered. Two cases are studied. The first one corresponds to the situation when the jump size converges to a non-zero limit, while in the second…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
Symmetry plays a central role in the sciences, machine learning, and statistics. While statistical tests for the presence of distributional invariance with respect to groups have a long history, tests for conditional symmetry in the form of…
In this paper, we consider semi-Markov processes whose transition times and transition probabilities depend on a small parameter $\varepsilon$. Understanding the asymptotic behavior of such processes is needed in order to study the…
The absence of time-reversal symmetry is a fundamental property of many nonlinear time series. Here, we propose a new set of statistical tests for time series irreversibility based on standard and horizontal visibility graphs. Specifically,…
We review approaches to statistical inference based on randomization. Permutation tests are treated as an important special case. Under a certain group invariance property, referred to as the ``randomization hypothesis,'' randomization…
In this paper, we consider a mean-reverting stochastic volatility equation with regime switching, and present some sufficient conditions for the existence of global positive solution, asymptotic boundedness in pth moment, positive…
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…
The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process. The dynamic of these models is given by an autoregressive…