Related papers: A post hoc test on the Sharpe ratio
Adaptive experiments use preliminary analyses of the data to inform further course of action and are commonly used in many disciplines including medical and social sciences. Because the null hypothesis and experimental design are…
When researchers carry out a null hypothesis significance test, it is tempting to assume that a statistically significant result lowers Prob(H0), the probability of the null hypothesis being true. Technically, such a statement is…
The Fisher randomization test (FRT) is appropriate for any test statistic, under a sharp null hypothesis that can recover all missing potential outcomes. However, it is often sought after to test a weak null hypothesis that the treatment…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
Density Ratio Estimation has attracted attention from the machine learning community due to its ability to compare the underlying distributions of two datasets. However, in some applications, we want to compare distributions of random…
Testing the equality of the covariance matrices of two high-dimensional samples is a fundamental inference problem in statistics. Several tests have been proposed but they are either too liberal or too conservative when the required…
An empirical Bayes approach to the estimation of possibly sparse sequences observed in Gaussian white noise is set out and investigated. The prior considered is a mixture of an atom of probability at zero and a heavy-tailed density \gamma,…
Statistical techniques are used in all branches of science to determine the feasibility of quantitative hypotheses. One of the most basic applications of statistical techniques in comparative analysis is the test of equality of two…
We describe a statistical hypothesis test for the presence of a signal. The test allows the researcher to fix the signal location and/or width a priori, or perform a search to find the signal region that maximizes the signal. The background…
In narrative synthesis of evidence, it can be the case that the only quantitative measures available concerning the efficacy of an intervention is the direction of the effect, i.e. whether it is positive or negative. In such situations, the…
Many approximate Bayesian inference methods assume a particular parametric form for approximating the posterior distribution. A multivariate Gaussian distribution provides a convenient density for such approaches; examples include the…
McGranaghan, Nielsen, O'Donoghue, Somerville, and Sprenger [2024] show that standard paired choice tests for the common ratio effect are structurally biased when choice is stochastic, proposing valuation tests as a robust alternative. Using…
We study the rate of decay of the probability of error for distinguishing between a sparse signal with noise, modeled as a sparse mixture, from pure noise. This problem has many applications in signal processing, evolutionary biology,…
For several years now, the ITU-T's Perceptual Evaluation of Speech Quality (PESQ) has been the reference for objective speech quality assessment. It is widely deployed in commercial QoE measurement products, and it has been well studied in…
We propose the so-called jackknife empirical likelihood approach for the survey data of general unequal probability sampling designs, and analyze parameters defined according to U-statistics. We prove theoretically that jackknife…
The Sharpe ratio, which is defined as the ratio of the excess expected return of an investment to its standard deviation, has been widely cited in the financial literature by researchers and practitioners. However, very little attention has…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
This paper focuses on the problem of testing the null hypothesis that the regression functions of several populations are equal under a general nonparametric homoscedastic regression model. It is well known that linear kernel regression…
This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby…
Testing high-dimensional quantile regression coefficients is crucial, as tail quantiles often reveal more than the mean in many practical applications. Nevertheless, the sparsity pattern of the alternative hypothesis is typically unknown in…