Related papers: Challenges in Statistically Rejecting the Perfect …
We consider a variant of sequential testing by betting where, at each time step, the statistician is presented with multiple data sources (arms) and obtains data by choosing one of the arms. We consider the composite global null hypothesis…
We study an optimal wage band problem in a competitive matching labor market where education signals worker ability. We prove uniqueness of the competitive signaling equilibrium under a general class of utility and profit functions and show…
In its semi-strong form, the Efficient Market Hypothesis (EMH) implies that technical analysis will not reveal any hidden statistical trends via intermarket data analysis. If technical analysis on intermarket data reveals trends which can…
We provide a test for the specification of a structural model without identifying assumptions. We show the equivalence of several natural formulations of correct specification, which we take as our null hypothesis. From a natural empirical…
Conformal prediction, which makes no distributional assumptions about the data, has emerged as a powerful and reliable approach to uncertainty quantification in practical applications. The nonconformity measure used in conformal prediction…
A substantial number of studies have extended the work on universal properties in physical systems to complex networks in social, biological, and technological systems. In this paper, we present a complex networks perspective on interfirm…
It is known that the competitive exclusion principle holds for a large kind of models involving several species competing for a single resource in an homogeneous environment. Various works indicate that the coexistence is possible in an…
Comparing two population means of network data is of paramount importance in a wide range of scientific applications. Many existing network inference solutions focus on global testing of entire networks, without comparing individual network…
Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistical tests have been proposed in the literature to check the…
The lack of non-parametric statistical tests for confounding bias significantly hampers the development of robust, valid and generalizable predictive models in many fields of research. Here I propose the partial and full confounder tests,…
In order to find a way of measuring the degree of incompleteness of an incomplete financial market, the rank of the vector price process of the traded assets and the dimension of the associated acceptance set are introduced. We show that…
We investigate the impossibility of universally winning trading strategies -- those generating strict profit across all market trajectories -- through three distinct mathematical paradigms. Fundamentally, under standard admissibility…
In testing for correlation of the errors in regression models the power of tests can be very low for strongly correlated errors. This counterintuitive phenomenon has become known as the "zero-power trap". Despite a considerable amount of…
Multiple testing problems are a staple of modern statistical analysis. The fundamental objective of multiple testing procedures is to reject as many false null hypotheses as possible (that is, maximize some notion of power), subject to…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
We present a new metric estimating fitness of countries and complexity of products by exploiting a non-linear non-homogeneous map applied to the publicly available information on the goods exported by a country. The non homogeneous terms…
A novel algorithm for actively trading stocks is presented. While traditional expert advice and "universal" algorithms (as well as standard technical trading heuristics) attempt to predict winners or trends, our approach relies on…
Nonparametric rank tests for homogeneity and component independence are proposed, which are based on data compressors. For homogeneity testing the idea is to compress the binary string obtained by ordering the two joint samples and writing…
Statistical hypothesis testing serves as statistical evidence for scientific innovation. However, if the reported results are intentionally biased, hypothesis testing no longer controls the rate of false discovery. In particular, we study…