Related papers: A post hoc test on the Sharpe ratio
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity against a composite one-sided parametric alternative that this is a…
Higher criticism, or second-level significance testing, is a multiple-comparisons concept mentioned in passing by Tukey. It concerns a situation where there are many independent tests of significance and one is interested in rejecting the…
Tests for proportional hazards assumption concerning specified covariates or groups of covariates are proposed. The class of alternatives is wide: log-hazard rates under different values of covariates may cross, approach, go away. The data…
When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We derive (1) an unbiased estimator adjusting for both sources…
This work is concern with testing the low-dimensional parameters of interest with divergent dimensional data and variable selection for the rest under the sparse case. A consistent test via the partial penalized likelihood approach, called…
We consider the problem of inference on the signs of $n>1$ parameters. We aim to provide $1-\alpha$ post-hoc confidence bounds on the number of positive and negative (or non-positive) parameters. The guarantee is simultaneous, for all…
The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distribution. The upsilon distribution finds application in…
Hypothesis tests are a crucial statistical tool for data mining and are the workhorse of scientific research in many fields. Here we present a differentially private analogue of the classic Wilcoxon signed-rank hypothesis test, which is…
We introduce equivalence testing procedures for linear regression analyses. Such tests can be very useful for confirming the lack of a meaningful association between a continuous outcome and a continuous or binary predictor. Specifically,…
Returns distributions are heavy-tailed across asset classes. In this note, I examine the implications of this well-known stylized fact for the joint statistics of performance (absolute return) and Sharpe ratio (risk-adjusted return). Using…
A statistical test can be seen as a procedure to produce a decision based on observed data, where some decisions consist of rejecting a hypothesis (yielding a significant result) and some do not, and where one controls the probability to…
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily…
Correlated proportions arise in longitudinal (panel) studies. A typical example is the ``opinion swing'' problem: ``Has the proportion of people favoring a politician changed after his recent speech to the nation on TV?''. Since the same…
We develop conservative tests for the mean of a bounded population under stratified sampling and apply them to risk-limiting post-election audits. The tests are ``anytime valid'' under sequential sampling, allowing optional stopping in each…
Score tests have the advantage of requiring estimation alone of the model restricted by the null hypothesis, which often is much simpler than models defined under the alternative hypothesis. This is typically so when the alternative…
A standard practice in statistical hypothesis testing is to mention the p-value alongside the accept/reject decision. We show the advantages of mentioning an e-value instead. With p-values, it is not clear how to use an extreme observation…
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We…
It is common practice in statistical data analysis to perform data-driven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides…
The Heuristic Ratio Estimation (HRE) approach proposes a new way of using the pairwise comparisons matrix. It allows the assumption that the weights of some alternatives (herein referred to as concepts) are known and fixed, hence the weight…
In this paper, we develop a simple approach for testing multiple statistical hypotheses based on the observations of a number of probability ratios enumerated consecutively with respect to the index of hypotheses. Explicit and tight bounds…