Related papers: Multivariate Specification Tests Based on a Dynami…
In this article, we study the asymptotic behaviour of the residual autocorrelations for periodic vector autoregressive time series models (PVAR henceforth) with uncorrelated but dependent innovations (i.e., weak PVAR). We then deduce the…
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be oversized in the case of small, or even moderate sample…
In recent years, Bayesian nonparametric statistics has gathered extraordinary attention. Nonetheless, a relatively little amount of work has been expended on Bayesian nonparametric hypothesis testing. In this paper, a novel Bayesian…
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…
Diffusion models play an essential role in modeling continuous-time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential…
Data-driven methods for modeling dynamic systems have received considerable attention as they provide a mechanism for control synthesis directly from the observed time-series data. In the absence of prior assumptions on how the time-series…
The paper endeavours to solve the problem of the necessary and sufficient conditions for testing asymptotic stability of the equilibrium state without using a positive definite or semi-definite Lyapunov function for time-invariant nonlinear…
Two new tests for exponentiality, of integral and Kolmogorov type, are proposed. They are based on a recent characterization and formed using appropriate V-statistics. Their asymptotic properties are examined and their local Bahadur…
This work is concerned with the estimation of multidimensional regression and the asymptotic behaviour of the test involved in selecting models. The main problem with such models is that we need to know the covariance matrix of the noise to…
We study a class of nonautonomous, linear, parabolic equations with unbounded coefficients on $\mathbb R^{d}$ which admit an evolution system of measures. It is shown that the solutions of these equations converge to constant functions as…
Identifying relationships among stochastic processes is a core objective in many fields, such as economics. While the standard toolkit for multivariate time series analysis has many advantages, it can be difficult to capture nonlinear…
We extend the wavelet tests for fixed effects FANOVA models with iid errors, proposed in Abramovich et al, 2004 to FANOVA models with dependent errors and provide an iterative Cochrane-Orcutt type procedure to estimate the parameters and…
Engineers in the manufacturing industries have used accelerated test (AT) experiments for many decades. The purpose of AT experiments is to acquire reliability information quickly. Test units of a material, component, subsystem or entire…
We employ a general Monte Carlo method to test composite hypotheses of goodness-of-fit for several popular multivariate models that can accommodate both asymmetry and heavy tails. Specifically, we consider weighted L2-type tests based on a…
For the nonlinear second order Lienard-type equations with time-varying delays $$ \ddot{x}(t)+\sum_{k=1}^m f_k(t,x(t),\dot{x}(g_k(t)))+\sum_{k=1}^l s_k(t,x(h_k(t)))=0, $$ global asymptotic stability conditions are obtained. The results are…
In spatial statistics, point processes are often assumed to be isotropic meaning that their distribution is invariant under rotations. Statistical tests for the null hypothesis of isotropy found in the literature are based either on…
Generalized linear models are often misspecified due to overdispersion, heteroscedasticity and ignored nuisance variables. Existing quasi-likelihood methods for testing in misspecified models often do not provide satisfactory type-I error…
Motivated by a neuroscience question about synchrony detection in spike train analysis, we deal with the independence testing problem for point processes. We introduce non-parametric test statistics, which are rescaled general…
This paper establishes a necessary and sufficient condition for $L^p$-boundedness of a class of multilinear functionals which includes both the Brascamp-Lieb inequalities and generalized Radon transforms associated to algebraic incidence…
Consider $n$ iid random variables, where $\xi_1, \ldots, \xi_n$ are $n$ realisations of a random variable $\xi$ and $\zeta_1, \ldots, \zeta_n$ are $n$ realisations of a random variable $\zeta$. The distribution of each realisation of $\xi$,…