Related papers: A Test for Multivariate Location Parameter in Elli…
We propose elliptical graphical models based on conditional uncorrelatedness as a general- ization of Gaussian graphical models by letting the population distribution be elliptical instead of normal, allowing the fitting of data with…
We conduct a KL-divergence based procedure for testing elliptical distributions. The procedure simultaneously takes into account the two defining properties of an elliptically distributed random vector: independence between length and…
This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often possesses high order correlations among…
The classic Hettmansperger-Randles Estimator has found extensive use in robust statistical inference. However, it cannot be directly applied to high-dimensional data. In this paper, we propose a high-dimensional Hettmansperger-Randles…
This paper deals with the local asymptotic structure, in the sense of Le Cam's asymptotic theory of statistical experiments, of the signal detection problem in high dimension. More precisely, we consider the problem of testing the null…
The paper studies the problem of distributed parameter estimation in multi-agent networks with exponential family observation statistics. A certainty-equivalence type distributed estimator of the consensus + innovations form is proposed in…
The problem of reducing the bias of maximum likelihood estimator in a general multivariate elliptical regression model is considered. The model is very flexible and allows the mean vector and the dispersion matrix to have parameters in…
In this paper we propose a family of multivariate asymmetric distributions over an arbitrary subset of set of real numbers which is defined in terms of the well-known elliptically symmetric distributions. We explore essential properties,…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
This paper proposes a unified class of generalized location-scale mixture of multivariate elliptical distributions and studies integral stochastic orderings of random vectors following such distributions. Given a random vector…
Multivariate elliptically-contoured distributions are widely used for modeling correlated and non-Gaussian data. In this work, we study the kurtosis of the elliptical model, which is an important parameter in many statistical analysis.…
We consider an elliptic linear-quadratic parameter estimation problem with a finite number of parameters. A novel a priori bound for the parameter error is proved and, based on this bound, an adaptive finite element method driven by an a…
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…
We propose a class of rank-based procedures for testing that the shape matrix $\mathbf{V}$ of an elliptical distribution (with unspecified center of symmetry, scale and radial density) has some fixed value ${\mathbf{V}}_0$; this includes,…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any…
In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the…
We consider the problem of multivariate location and scatter matrix estimation when the data contain cellwise and casewise outliers. Agostinelli et al. (2015) propose a two-step approach to deal with this problem: first, apply a univariate…
This article inspects whether a multivariate distribution is different from a specified distribution or not, and it also tests the equality of two multivariate distributions. In the course of this study, a graphical tool-kit using…
Elliptical distribution is a basic assumption underlying many multivariate statistical methods. For example, in sufficient dimension reduction and statistical graphical models, this assumption is routinely imposed to simplify the data…