Related papers: A post hoc test on the Sharpe ratio
We revisit simple and powerful methods for multiple pairwise comparisons that can be used in designs with three groups. We argue that the proper choice of method should be determined by the assessment which of the comparisons are considered…
In test equating, ensuring score comparability across different test forms is crucial but particularly challenging when test groups are non-equivalent and no anchor test is available. Local test equating aims to satisfy Lord's equity…
Spectral estimation (SE) aims to identify how the energy of a signal (e.g., a time series) is distributed across different frequencies. This can become particularly challenging when only partial and noisy observations of the signal are…
This paper provides a statistical method to test whether a system that performs a binary sequential hypothesis test is optimal in the sense of minimizing the average decision times while taking decisions with given reliabilities. The…
Given a redundant dictionary $\Phi$, represented by an $M \times N$ matrix ($\Phi \in \mathbb{R}^{M \times N}$) and a target signal $y \in \mathbb{R}^M$, the \emph{sparse approximation problem} asks to find an approximate representation of…
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…
We consider the weak detection problem in a rank-one spiked Wigner data matrix where the signal-to-noise ratio is small so that reliable detection is impossible. We propose a hypothesis test on the presence of the signal by utilizing the…
Most physical data sets contain a stochastic contribution produced by measurement noise or other random sources along with the signal. Usually, neither the signal nor the noise are accurately known prior to the measurement so that both have…
The null hypothesis test (NHT) is widely used for validating scientific hypotheses but is actually highly criticized. Although Bayesian tests overcome several criticisms, some limits remain. We propose a Bayesian two-interval test (2IT) in…
The statistical method of quasi-optimal weights can be used to derive criteria for searches of anomalies. As an example we derive a convenient statistical criterion for step-like anomalies in cumulative spectra such as measured in the…
Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or construction of confidence regions for pivotal unknown quantities. This method has been applied to the case of…
Sup-norm curve estimation is a fundamental statistical problem and, in principle, a premise for the construction of confidence bands for infinite-dimensional parameters. In a Bayesian framework, the issue of whether the…
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
In this paper, we construct a consistent non-parametric test for testing the equality of population medians for different samples when the observations in each sample are independent and identically distributed. This test can be further…
We describe a seriation algorithm for ranking a set of items given pairwise comparisons between these items. Intuitively, the algorithm assigns similar rankings to items that compare similarly with all others. It does so by constructing a…
Mining 29,000 accounting ratios for t-statistics $> 2.0$ leads to cross-sectional return predictability similar to the peer review process. For both, $\approx50\%$ of predictability remains after the original sample periods. This finding…
A test based on tapering is proposed for use in testing a global linear hypothesis under a functional linear model. The test statistic is constructed as a weighted sum of squared linear combinations of Fourier coefficients, a tapered…
We study finite-sample inference for the trade-off function of two unknown probability distributions, the function that traces the optimal type I/type II error frontier in binary testing. Given samples from distributions $P$ and $Q$, we…
In the context of data that lie on the simplex, we investigate use of empirical and exponential empirical likelihood, and Hotelling and James statistics, to test the null hypothesis of equal population means based on two independent…
We propose a new adaptive hypothesis test for inequality (e.g., monotonicity, convexity) and equality (e.g., parametric, semiparametric) restrictions on a structural function in a nonparametric instrumental variables (NPIV) model. Our test…