Related papers: p-value peeking and estimating extrema
The two statistical methods, namely the frequentist and the Bayesian methods, are both commonly used for probabilistic inference in many scientific situations. However, it is not straightforward to interpret the result of one approach in…
It is widely acknowledged that the biomedical literature suffer from a surfeit of false positive results. Part of the reason for this is the persistence of the myth that observation of a p value less than 0.05 is sufficient justification to…
When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form ${\mathbf{z}\in\mathbb{R}^d:f(\mathbf{z})\leq\beta}$, where f is…
Software packages usually report the results of statistical tests using p-values. Users often interpret these by comparing them to standard thresholds, e.g. 0.1%, 1% and 5%, which is sometimes reinforced by a star rating (***, **, *). We…
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
In this paper we investigate the level sets of extremal Sobolev functions for subcritical exponents p. We conjecture that as p increases the corresponding extremal functions become more peaked, which we can measure by comparing their…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
Time series segmentation is one of the many data mining tools. This paper, in French, takes local extrema as perceptually interesting points (PIPs). The blurring of those PIPs by the quick fluctuations around any time series is treated via…
We survey the connections between extreme-value theory and regular variation, in one and higher dimensions, from the algebraic point of view of our recent work on Popa groups.
Motivated by the psychological literature on the "peak-end rule" for remembered experience, we perform an analysis within a random walk framework of a discrete choice model where agents' future choices depend on the peak memory of their…
Modern statistical analyses often encounter datasets with massive sizes and heavy-tailed distributions. For datasets with massive sizes, traditional estimation methods can hardly be used to estimate the extreme value index directly. To…
We show that some forms of p-hacking cannot be detected by examining the histogram of t-statistics or their p-values. Even when p-hacking is detectable, standard tests may lack power. We propose a novel test that detects every form of…
Mathematics is a limited component of solutions to real-world problems, as it expresses only what is expected to be true if all our assumptions are correct, including implicit assumptions that are omnipresent and often incorrect.…
Several scientific fields including psychology are undergoing a replication crisis. There are many reasons for this problem, one of which is a misuse of p-values. There are several alternatives to p-values, and in this paper we describe a…
In experiments where one searches a large parameter space for an anomaly, one often finds many spurious noise-induced peaks in the likelihood. This is known as the look-elsewhere effect, and must be corrected for when performing statistical…
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…
The established language for statistical testing --- significance levels, power, and p-values --- is overly complicated and deceptively conclusive. Even teachers of statistics and scientists who use statistics misinterpret the results of…
We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical process theory is a very powerful tool, both for the asymptotic…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
The probabilistic bisection algorithm (PBA) solves a class of stochastic root-finding problems in one dimension by successively updating a prior belief on the location of the root based on noisy responses to queries at chosen points. The…