Related papers: Revised BDS Test
An important issue in functional time series analysis is whether an observed series comes from a purely random process. We extend the BDS test, a widely-used nonlinear independence test, to the functional time series. Like the BDS test in…
Many high-dimensional hypothesis tests aim to globally examine marginal or low-dimensional features of a high-dimensional joint distribution, such as testing of mean vectors, covariance matrices and regression coefficients. This paper…
We propose a new testing procedure of heteroskedasticity in high-dimensional linear regression, where the number of covariates can be larger than the sample size. Our testing procedure is based on residuals of the Lasso. We demonstrate that…
Researchers in many scientific fields make inferences from individuals to larger groups. For many groups however, there is no list of members from which to take a random sample. Respondent-driven sampling (RDS) is a relatively new sampling…
This article is a survey of results concerning an inequality, which may be seen as a versatile tool to solve problems in the domain of Applied Probability. The inequality, which we call BRS-inequality, gives a convenient upper bound for the…
In this article, we propose a new method for the fundamental task of testing for dependence between two groups of variables. The response densities under the null hypothesis of independence and the alternative hypothesis of dependence are…
Uncertainty estimation aims to evaluate the confidence of a trained deep neural network. However, existing uncertainty estimation approaches rely on low-dimensional distributional assumptions and thus suffer from the high dimensionality of…
Testing the equality of two high-dimensional mean vectors is a fundamental problem in multivariate analysis. While the classical Hotelling's $T^2$ test is optimal in low-dimensional settings, it fails when the dimension $p$ is comparable to…
Experiments often yield non-identically distributed data for statistical analysis. Tests of hypothesis under such set-ups are generally performed using the likelihood ratio test, which is non-robust with respect to outliers and model…
Independence screening is a variable selection method that uses a ranking criterion to select significant variables, particularly for statistical models with nonpolynomial dimensionality or "large p, small n" paradigms when p can be as…
Consider a nonparametric regression model with one-sided errors and regression function in a general H\"older class. We estimate the regression function via minimization of the local integral of a polynomial approximation. We show uniform…
We consider a linear regression model and propose an omnibus test to simultaneously check the assumption of independence between the error and the predictor variables, and the goodness-of-fit of the parametric model. Our approach is based…
In this paper we develop a novel nonparametric framework to test the independence of two random variables $\mathbf{X}$ and $\mathbf{Y}$ with unknown respective marginals $H(dx)$ and $G(dy)$ and joint distribution $F(dx dy)$, based on {\it…
Respondent-driven sampling (RDS) is an approach to sampling design and analysis which utilizes the networks of social relationships that connect members of the target population, using chain-referral methods to facilitate sampling. RDS…
This paper proposes a novel two-step strategy for testing the goodness-of-fit of parametric regression models in ultra-high dimensional sparse settings, where the predictor dimension far exceeds the sample size. This regime usually renders…
A new computationally efficient dependence measure, and an adaptive statistical test of independence, are proposed. The dependence measure is the difference between analytic embeddings of the joint distribution and the product of the…
Testing heteroscedasticity of the errors is a major challenge in high-dimensional regressions where the number of covariates is large compared to the sample size. Traditional procedures such as the White and the Breusch-Pagan tests…
Distance correlation has become an increasingly popular tool for detecting the nonlinear dependence between a pair of potentially high-dimensional random vectors. Most existing works have explored its asymptotic distributions under the null…
In this paper we propose a new test of heteroscedasticity for parametric regression models and partial linear regression models in high dimensional settings. When the dimension of covariates is large, existing tests of heteroscedasticity…
Best subset selection (BSS) is widely known as the holy grail for high-dimensional variable selection. Nevertheless, the notorious NP-hardness of BSS substantially restricts its practical application and also discourages its theoretical…