Related papers: A post hoc test on the Sharpe ratio
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…
A new method based on the rejection sampling for finding statistical tests is proposed. This method is conceptually intuitive, easy to implement, and applicable for arbitrary dimension. To illustrate its potential applicability, three…
When interpreting A/B tests, we typically focus only on the statistically significant results and take them by face value. This practice, termed post-selection inference in the statistical literature, may negatively affect both point…
A series of papers has introduced the Heuristic Rating Estimation method, which evaluates a set of alternatives based on pairwise comparisons and the weights of reference alternatives. We formulate the conditions under which the HRE method…
We revisit the fundamental question of simple-versus-simple hypothesis testing with an eye towards computational complexity, as the statistically optimal likelihood ratio test is often computationally intractable in high-dimensional…
We provide a new theory for nodewise regression when the residuals from a fitted factor model are used. We apply our results to the analysis of the consistency of Sharpe ratio estimators when there are many assets in a portfolio. We allow…
Hypothesis test plays a key role in uncertain statistics based on uncertain measure. This paper extends the parametric hypothesis of a single uncertain population to multiple cases, thereby addressing a broader range of scenarios. First, an…
The pairwise winning indices, computed in the Stochastic Multicriteria Acceptability Analysis, give the probability with which an alternative is preferred to another taking into account all the instances of the assumed preference model…
Statistical hypothesis tests typically use prespecified sample sizes, yet data often arrive sequentially. Interim analyses invalidate classical error guarantees, while existing sequential methods require rigid testing preschedules or incur…
The total duration of drawdowns is shown to provide a moment-free, unbiased, efficient and robust estimator of Sharpe ratios both for Gaussian and heavy-tailed price returns. We then use this quantity to infer an analytic expression of the…
We consider a binary classification problem under group fairness constraints, which can be one of Demographic Parity (DP), Equalized Opportunity (EOp), or Equalized Odds (EO). We propose an explicit characterization of Bayes optimal…
This paper aims to test the number of spikes in a generalized spiked covariance matrix, the spiked eigenvalues of which may be extremely larger or smaller than the non-spiked ones. For a high-dimensional problem, we first propose a general…
A fundamental class of inferential problems are those characterised by there having been a substantial degree of pre-data (or prior) belief that the value of a model parameter was equal or lay close to a specified value, which may, for…
The recovery of sparsest overcomplete representation has recently attracted intensive research activities owe to its important potential in the many applied fields such as signal processing, medical imaging, communication, and so on. This…
For analysis of a high-dimensional dataset, a common approach is to test a null hypothesis of statistical independence on all variable pairs using a non-parametric measure of dependence. However, because this approach attempts to identify…
As a convention, p-value is often computed in frequentist hypothesis testing and compared with the nominal significance level of 0.05 to determine whether or not to reject the null hypothesis. The smaller the p-value, the more significant…
Replication studies are increasingly conducted to assess the credibility of scientific findings. Most of these replication attempts target studies with a superiority design, but there is a lack of methodology regarding the analysis of…
After rejecting the null hypothesis in the analysis of variance, the next step is to make the pairwise comparisons to find out differences in means. The purpose of this paper is threefold. The foremost aim is to suggest expression for…
A smooth test to simultaneously compare $K$ copulas, where $K \geq 2$ is proposed. The $K$ observed populations can be paired, and the test statistic is constructed based on the differences between moment sequences, called copula…
Fisherian randomization inference is often dismissed as testing an uninteresting and implausible hypothesis: the sharp null of no effects whatsoever. We show that this view is overly narrow. Many randomization tests are also valid under a…