Related papers: On detecting weak changes in the mean of CHARN mod…
Consider a multiple hypothesis testing setting involving rare/weak effects: relatively few tests, out of possibly many, deviate from their null hypothesis behavior. Summarizing the significance of each test by a P-value, we construct a…
This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process.…
We extend our previous results on local asymptotic normality (LAN) for qubits, to quantum systems of arbitrary finite dimension $d$. LAN means that the quantum statistical model consisting of $n$ identically prepared $d$-dimensional systems…
Linear regression is arguably the most widely used statistical method. With fixed regressors and correlated errors, the conventional wisdom is to modify the variance-covariance estimator to accommodate the known correlation structure of the…
We introduce a novel Bayesian method that can detect multiple structural breaks in the mean and variance of a length $T$ time-series. Our method quantifies uncertainty by returning $\alpha$-level credible sets around the estimated locations…
Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of particular interest when dealing with high-dimensional and highly…
Anomaly detection in random fields is an important problem in many applications including the detection of cancerous cells in medicine, obstacles in autonomous driving and cracks in the construction material of buildings. Such anomalies are…
We establish the asymptotic distribution of likelihood ratio tests (LRTs) in settings where some of the nuisance parameters are unidentifiable under the null hypothesis, parameters of interest lie on the boundary of the parameter space, and…
Time-to-event endpoints show an increasing popularity in phase II cancer trials. The standard statistical tool for such one-armed survival trials is the one-sample log-rank test. Its distributional properties are commonly derived in the…
We consider the problem of sequential signal detection in a multichannel system where the number and location of signals is a priori unknown. We assume that the data in each channel are sequentially observed and follow a general non-i.i.d.…
Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be estimated. In contrast to the LAN families in the…
Strong mixing property holds for a broad class of linear and nonlinear time series models such as ARMA and GARCH models. In this article we study correlation structure of strong mixing sequences, and some asymptotic properties are…
We consider the problem of testing, on the basis of a $p$-variate Gaussian random sample, the null hypothesis ${\cal H}_0: {\pmb \theta}_1= {\pmb \theta}_1^0$ against the alternative ${\cal H}_1: {\pmb \theta}_1 \neq {\pmb \theta}_1^0$,…
We introduce a family of local inhomogeneous mark-weighted summary statistics, of order two and higher, for general marked point processes. Depending on how the involved weight function is specified, these summary statistics capture…
This paper develops a framework for incorporating prior information into sequential multiple testing procedures while maintaining asymptotic optimality. We define a weighted log-likelihood ratio (WLLR) as an additive modification of the…
Structural changes occur in dynamic networks quite frequently and its detection is an important question in many situations such as fraud detection or cybersecurity. Real-life networks are often incompletely observed due to individual…
In multiple change-point problems, different data segments often follow different distributions, for which the changes may occur in the mean, scale or the entire distribution from one segment to another. Without the need to know the number…
Advanced metering infrastructure (AMI) provides high-resolution electricity consumption data that can enhance monitoring, diagnosis, and decision making in modern power distribution systems. Detecting anomalies in these time-series…
Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the…
We consider a linear combination of jackknife Anderson-Rubin (AR), jackknife Lagrangian multiplier (LM), and orthogonalized jackknife LM tests for inference in IV regressions with many weak instruments and heteroskedasticity. Following…