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We discuss the emergence of non-stationarity in open quantum many-body systems. This leads us to the definition of dissipative time crystals which display experimentally observable, persistent, time-periodic oscillations induced by noisy…
We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Heston models of stochastic volatility. All results are based on…
Many time series exhibit changes both in level and in variability. Generally, it is more important to detect a change in the level, and changing or smoothly evolving variability can confound existing tests. This paper develops a framework…
Shannon entropy is the most common metric to measure the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world systems may be in general non stationary, with an entropy…
A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on…
The analysis of seasonal or annual block maxima is of interest in fields such as hydrology, climatology or meteorology. In connection with the celebrated method of block maxima, we study several tests that can be used to assess whether the…
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on…
In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order properties. Under this framework, the limiting null…
This paper examines the problem of testing whether a discrete time-series vector contains a periodic signal or is merely noise. To do this we examine the stochastic behaviour of the maximum intensity of the observed time-series vector and…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
We propose a new asymptotic test to assess the stationarity of a time series' mean that is applicable in the presence of both heteroscedasticity and short-range dependence. Our test statistic is composed of Gini's mean difference of local…
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we…
This paper investigates the asymptotic behavior of structural break tests in the harmonic domain for time dependent spherical random fields. In particular, we prove a functional central limit theorem result for the fluctuations over time of…
Developing a macroscopic theory of elasto-plasticity in amorphous solids calls for (i) identifying the relevant macro state-variables and (ii) discriminating the different time-scales which characterize these variables. In current theories…
We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…
We propose a general new method, the conditional permutation test, for testing the conditional independence of variables $X$ and $Y$ given a potentially high-dimensional random vector $Z$ that may contain confounding factors. The proposed…
Structural changes and outliers often coexist, complicating statistical inference. This paper addresses the problem of testing for parameter changes in conditionally heteroscedastic time series models, particularly in the presence of…
We use inelastic hard sphere molecular dynamics simulations and laboratory experiments to study patterns in vertically oscillated granular layers. The simulations and experiments reveal that {\em phase bubbles} spontaneously nucleate in the…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
Measuring time means counting the occurrence of periodic phenomena. Over the past centuries a major effort was put to make stable and precise oscillators to be used as clock regulators. Here we consider a different class of clocks based on…