Related papers: Asymptotics of higher criticism via Gaussian appro…
The performance of Bayesian detection of Gaussian signals using noisy observations is investigated via the error exponent for the average error probability. Under unknown signal correlation structure or limited processing capability it is…
Sampling from various kinds of distributions is an issue of paramount importance in statistics since it is often the key ingredient for constructing estimators, test procedures or confidence intervals. In many situations, the exact sampling…
We consider the problem of finding, for a given quadratic measure of non-uniformity of a set of $N$ points (such as $L_2$ star-discrepancy or diaphony), the asymptotic distribution of this discrepancy for truly random points in the limit…
Recent years have seen tremendous advances in the theory and application of sequential experiments. While these experiments are not always designed with hypothesis testing in mind, researchers may still be interested in performing tests…
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inference for the POT, the asymptotic theory for such proposals…
Variational inference is a general framework to obtain approximations to the posterior distribution in a Bayesian context. In essence, variational inference entails an optimization over a given family of probability distributions to choose…
We make use of the empirical process theory to approximate the adapted Hill estimator, for censored data, in terms of Gaussian processes. Then, we derive its asymptotic normality, only under the usual second-order condition of regular…
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic…
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…
We consider the problems of confidence estimation and hypothesis testing on a parameter of signal observed in Gaussian white noise. For these problems we point out lower bounds of asymptotic efficiency in the zone of moderate deviation…
This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time…
The Gaussian graphical model, a popular paradigm for studying relationship among variables in a wide range of applications, has attracted great attention in recent years. This paper considers a fundamental question: When is it possible to…
Score matching is an estimation procedure that has been developed for statistical models whose probability density function is known up to proportionality but whose normalizing constant is intractable, so that maximum likelihood is…
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…
This paper is concerned with testing normality in a Hilbert space based on the maximum mean discrepancy. Specifically, we discuss the behavior of the test from two standpoints: asymptotics and practical aspects. Asymptotic normality of the…
Two new test statistics are introduced to test the null hypotheses that the sampling distribution has an increasing hazard rate on a specified interval [0,a]. These statistics are empirical L_1-type distances between the isotonic estimates,…
In this paper, our interest is in the problem of simultaneous hypothesis testing when the test statistics corresponding to the individual hypotheses are possibly correlated. Specifically, we consider the case when the test statistics…
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…
Numerical and analytical results are presented for the maximal relative height distribution of stationary periodic Gaussian signals (one dimensional interfaces) displaying a 1/f^alpha power spectrum. For 0<alpha<1 (regime of decaying…
Motivated by real-world machine learning applications, we analyze approximations to the non-asymptotic fundamental limits of statistical classification. In the binary version of this problem, given two training sequences generated according…