Related papers: Theory of Low Frequency Contamination from Nonstat…
We develop a theory of evolutionary spectra for heteroskedasticity and autocorrelation robust (HAR) inference when the data may not satisfy second-order stationarity. Nonstationarity is a common feature of economic time series which may…
We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity that can be used for hypothesis testing in a variety of…
We show that the nonstandard limiting distribution of HAR test statistics under fixed-b asymptotics is not pivotal (even after studentization) when the data are nonstationarity. It takes the form of a complicated function of Gaussian…
We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usual smoothing over lagged autocovariances for classical HAC…
Distinguishing long-memory behaviour from nonstationarity is challenging, as both produce slowly decaying sample autocovariances. Existing stationarity tests either fail to account for long-memory processes or exhibit poor empirical size,…
Long-term causal inference has drawn increasing attention in many scientific domains. Existing methods mainly focus on estimating average long-term causal effects by combining long-term observational data and short-term experimental data.…
With the violation of the assumption of homoskedasticity, least squares estimators of the variance become inefficient and statistical inference conducted with invalid standard errors leads to misleading rejection rates. Despite a vast…
We consider the problem of testing for long-range dependence in time-varying coefficient regression models, where the covariates and errors are locally stationary, allowing complex temporal dynamics and heteroscedasticity. We develop KPSS,…
We develop randomization-based tests for heterogeneous treatment effects in the presence of network interference. Leveraging the exposure mapping framework, we study a broad class of null hypotheses that represent various forms of constant…
In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting…
Effects of non-stationarity on the performance of hybrid ensemble filters are studied (by hybrid filters we mean those which blend ensemble covariances with some other regularizing covariances). To isolate effects of non-stationarity from…
When outcome data are expensive or onerous to collect, scientists increasingly substitute predictions from machine learning and AI models for unlabeled cases, a process which has consequences for downstream statistical inference. While…
The pervasive use of prevalent cohort studies on disease duration, increasingly calls for appropriate methodologies to account for the biases that invariably accompany samples formed by such data. It is well-known, for example, that…
We study the algorithmic problem of robust mean estimation of an identity covariance Gaussian in the presence of mean-shift contamination. In this contamination model, we are given a set of points in $\mathbb{R}^d$ generated i.i.d. via the…
Robustness under perturbation and contamination is a prominent issue in statistical learning. We address the robust nonlinear regression based on the so-called interval conditional value-at-risk (In-CVaR), which is introduced to enhance…
An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specific parametric hypotheses of non-stationarity (such as a…
We study robust regression under a contamination model in which covariates are clean while the responses may be corrupted in an adaptive manner. Unlike the classical Huber's contamination model, where both covariates and responses may be…
Heteroskedastic errors can lead to inaccurate statistical conclusions if they are not properly handled. We introduce a test for heteroskedasticity for the nonparametric regression model with multiple covariates. It is based on a suitable…
Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general…
The reliability of machine learning systems critically assumes that the associations between features and labels remain similar between training and test distributions. However, unmeasured variables, such as confounders, break this…