Related papers: A post hoc test on the Sharpe ratio

Nonresponse weighting adjustment using propensity score is a popular method for handling unit nonresponse. However, including all available auxiliary variables into the propensity model can lead to inefficient and inconsistent estimation,…

An important feature of linear mixed models and generalized linear mixed models is that the conditional mean of the response given the random effects, after transformed by a link function, is linearly related to the fixed covariate effects…

We propose a test of fairness in score-based ranking systems called matched pair calibration. Our approach constructs a set of matched item pairs with minimal confounding differences between subgroups before computing an appropriate measure…

In clinical trials involving paired organs such as eyes, ears, and kidneys, binary outcomes may be collected bilaterally or unilaterally. In such combined datasets, bilateral outcomes exhibit intra-subject correlation, while unilateral…

We propose a new prior for ultra-sparse signal detection that we term the "horseshoe+ prior." The horseshoe+ prior is a natural extension of the horseshoe prior that has achieved success in the estimation and detection of sparse signals and…

Null Hypothesis Significance Testing is the \textit{de facto} tool for assessing effectiveness differences between Information Retrieval systems. Researchers use statistical tests to check whether those differences will generalise to online…

The notion of testing for equivalence of two treatments is widely used in clinical trials, pharmaceutical experiments,bioequivalence and quality control. It is essentially approached within the intersection-union (IU) principle. According…

Computing the probability of evidence even with known error bounds is NP-hard. In this paper we address this hard problem by settling on an easier problem. We propose an approximation which provides high confidence lower bounds on…

Estimating how well a machine learning model performs during inference is critical in a variety of scenarios (for example, to quantify uncertainty, or to choose from a library of available models). However, the standard accuracy estimate of…

In this paper we explore partial coherence as a tool for evaluating causal influence of one signal sequence on another. In some cases the signal sequence is sampled from a time- or space-series. The key idea is to establish a connection…

Testing between hypotheses, when independent sampling is possible, is a well developed subject. In this paper, we propose hypothesis tests that are applicable when the samples are obtained using Markov chain Monte Carlo. These tests are…

The indirect effect of an exposure on an outcome through an intermediate variable can be identified by a product of two regression coefficients under certain causal and regression modeling assumptions. In this context, the null hypothesis…

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic choice of the order for a Box-Pierce or Hong test statistic. The test uses Lobato (2001) or Kuan and Lee (2006) HAC critical values. The…

We present a new likelihood-ratio ranking statistic for use in searches for gravitational waves from the inspiral and merger of compact object binaries. Expanding on previous work, the ranking statistic incorporates a model for the…

This paper presents a procedure for testing the hypothesis that the underlying distribution of the data is elliptical when using robust location and scatter estimators instead of the sample mean and covariance matrix. Under mild assumptions…

Standard tests of the "no-treatment-effect" hypothesis for a comparative experiment include permutation tests, the Wilcoxon rank sum test, two-sample $t$ tests, and Fisher-type randomization tests. Practitioners are aware that these…

In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it…

In this paper we develop a new tool for the comparison of paired data based on a new criterion of stochastic dominance that takes into account the dependence structure of the random variables under comparison. This new procedure provides a…

We study the detection capability of the weak-value amplification on the basis of the statistical hypothesis testing. We propose a reasonable testing method in the physical and statistical senses to find that the weak measurement with the…

Selective inference is the problem of giving valid answers to statistical questions chosen in a data-driven manner. A standard solution to selective inference is simultaneous inference, which delivers valid answers to the set of all…