Related papers: Revisiting the memoryless property -- testing for …
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…
Inference based on the penalized density ratio model is proposed and studied. The model under consideration is specified by assuming that the log--likelihood function of two unknown densities is of some parametric form. The model has been…
The objective of goodness-of-fit testing is to assess whether a dataset of observations is likely to have been drawn from a candidate probability distribution. This paper presents a rank-based family of goodness-of-fit tests that is…
Large deviation theory has provided important clues for the choice of importance sampling measures for Monte Carlo evaluation of exceedance probabilities. However, Glasserman and Wang [Ann. Appl. Probab. 7 (1997) 731--746] have given…
The process comparing the empirical cumulative distribution function of the sample with a parametric estimate of the cumulative distribution function is known as the empirical process with estimated parameters and has been extensively…
This paper investigates improved testing inferences under a general multivariate elliptical regression model. The model is very flexible in terms of the specification of the mean vector and the dispersion matrix, and of the choice of the…
The modeling and analysis of lifetimes is an important aspect of statistical work in a wide variety of scientific and technological fields. For the first time, the called Kumaraswamy Pareto distribution is introduced and studied. The new…
In this article, inferences about the multicomponent stress strength reliability are drawn under the assumption that strength and stress follow independent Pareto distribution with different shapes $(\alpha_1,\alpha_2)$ and common scale…
We propose a multiple-splitting projection test (MPT) for one-sample mean vectors in high-dimensional settings. The idea of projection test is to project high-dimensional samples to a 1-dimensional space using an optimal projection…
The asymptotic expansion of the distribution of the gradient test statistic is derived for a composite hypothesis under a sequence of Pitman alternative hypotheses converging to the null hypothesis at rate $n^{-1/2}$, $n$ being the sample…
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic…
Log-linear models are widely used to express the association in multivariate frequency data on contingency tables. The paper focuses on the power analysis for testing the goodness-of-fit hypothesis for this model type. Conventionally, for…
Given observations from a stationary time series, permutation tests allow one to construct exactly level $\alpha$ tests under the null hypothesis of an i.i.d. (or, more generally, exchangeable) distribution. On the other hand, when the null…
Nonparametric tests for equality of multivariate distributions are frequently desired in research. It is commonly required that test-procedures based on relatively small samples of vectors accurately control the corresponding Type I Error…
We initiate the study of goodness-of-fit testing when the data consist of positive definite matrices. Motivated by the recent appearance of the cone of positive definite matrices in numerous areas of applied research, including diffusion…
Power-law distributions contain precious information about a large variety of processes in geoscience and elsewhere. Although there are sound theoretical grounds for these distributions, the empirical evidence in favor of power laws has…
We propose an empirical likelihood test that is able to test the goodness of fit of a class of parametric and semi-parametric multiresponse regression models. The class includes as special cases fully parametric models; semi-parametric…
We propose a new formulation of the problem of prime factorization of integers. With replica exchange Monte Carlo simulation, the behavior which is seemed to indicate exponential computational hardness is observed. But this formulation is…
This paper presents new families of Rao-type test statistics based on the minimum density power divergence estimators which provide robust generalizations for testing simple and composite null hypotheses. The asymptotic null distributions…
A simple method to derive parametric analytical extensions of Benford's law for first digits of numerical data is proposed. Two generalized Benford distributions are considered, namely the two-sided power Benford distribution and the new…