Related papers: A post hoc test on the Sharpe ratio
The comparison of a parameter in $k$ populations is a classical problem in statistics. Testing for the equality of means or variances are typical examples. Most procedures designed to deal with this problem assume that $k$ is fixed and that…
Multivariate Hawkes processes (MHP) are a class of point processes in which events at different coordinates interact through mutual excitation. The weighted adjacency matrix of the MHP encodes the strength of the relations, and shares its…
Posterior sampling with the spike-and-slab prior [MB88], a popular multimodal distribution used to model uncertainty in variable selection, is considered the theoretical gold standard method for Bayesian sparse linear regression [CPS09,…
The impact of including postcursors in the null hypothesis test is discussed. Unequal prediction probabilities can be included in the null hypothesis test using a generalization of the central limit theorem. A test for determining the…
The practice of pooling several individual test statistics to form aggregate tests is common in many statistical application where individual tests may be underpowered. While selection by aggregate tests can serve to increase power, the…
We consider the problem of hypothesis testing in the situation when the first hypothesis is simple and the second one is local one-sided composite. We describe the choice of the thresholds and the power functions of the Score Function test,…
Clustering is part of unsupervised analysis methods that consist in grouping samples into homogeneous and separate subgroups of observations also called clusters. To interpret the clusters, statistical hypothesis testing is often used to…
We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous function theorem, we are able to decompose these performance…
This paper develops a Bayesian approach for assessing equivalence and non-inferiority hypotheses in two-arm trials using relative belief ratios. A relative belief ratio is a measure of statistical evidence and can indicate evidence either…
Simultaneous inference allows for the exploration of data while deciding on criteria for proclaiming discoveries. It was recently proved that all admissible post-hoc inference methods for true discoveries must employ closed testing. In this…
A number of biomedical problems require performing many hypothesis tests, with an attendant need to apply stringent thresholds. Often the data take the form of a series of predictor vectors, each of which must be compared with a single…
As an application of Stein's method for Poisson approximation, we prove rates of convergence for the tail probabilities of two scan statistics that have been suggested for detecting local signals in sequences of independent random variables…
We consider the problem of detecting sparse heterogeneous mixtures in a two-sample setting from a nonparametric perspective, where the effect manifests itself as a positive shift. We suggest a two-sample higher criticism test, and show that…
In order to determine whether or not an effect is absent based on a statistical test, the recommended frequentist tool is the equivalence test. Typically, it is expected that an appropriate equivalence margin has been specified before any…
We consider one of the most basic multiple testing problems that compares expectations of multivariate data among several groups. As a test statistic, a conventional (approximate) $t$-statistic is considered, and we determine its rejection…
When the model is not known and parameter testing or interval estimation is conducted after model selection, it is necessary to consider selective inference. This paper discusses this issue in the context of sparse estimation. Firstly, we…
Postselected weak measurement is a useful protocol for amplifying weak physical effects. However, there has recently been controversy over whether it gives any advantage in precision. While it is now clear that retaining failed…
Measurements are generally collected as unilateral or bilateral data in clinical trials or observational studies. For example, in ophthalmologic studies, statistical tests are often based on one or two eyes of an individual. For bilateral…
This note considers the problem of approximating the locations of dominant spikes for a probability measure from noisy spectrum measurements under the condition of residue signal, significant noise level, and no minimum spectrum separation.…
Score-based tests have been used to study parameter heterogeneity across many types of statistical models. This chapter describes a new self-normalization approach for score-based tests of mixed models, which addresses situations where…