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Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. This paper establishes testing procedures to detect a possible common change in means of the…
This article presents a homogeneity test for testing the equality of several high-dimensional covariance matrices for stationary processes with ignoring the assumption of normality. We give the asymptotic distribution of the proposed test.…
This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients as well as cross-sectional heteroskedasticity. The panel considered in…
A massive dataset often consists of a growing number of (potentially) heterogeneous sub-populations. This paper is concerned about testing various forms of heterogeneity arising from massive data. In a general nonparametric framework, a set…
This article proposes different tests for treatment effect heterogeneity when the outcome of interest, typically a duration variable, may be right-censored. The proposed tests study whether a policy 1) has zero distributional (average)…
In this paper, we conduct a simulation study with subject-level data to evaluate conventional meta-regression approaches (study-level random, fixed, and mixed effects) against seven methodology specifications new to meta-regressions that…
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…
Change detection in heterogeneous multitemporal satellite images is a challenging and still not much studied topic in remote sensing and earth observation. This paper focuses on comparison of image pairs covering the same geographical area…
We study the problem of parameter estimation for time-series possessing two, widely separated, characteristic time scales. The aim is to understand situations where it is desirable to fit a homogenized singlescale model to such multiscale…
Non-stationarity of the rate or variance of events is a well-known problem in the description and analysis of time series of events, such as neuronal spike trains. A multiple filter test (MFT) for rate homogeneity has been proposed earlier…
In the presence of weak overall correlation, it may be useful to investigate if the correlation is significantly and substantially more pronounced over a subpopulation. Two different testing procedures are compared. Both are based on the…
Recent results in coupled or temporal graphical models offer schemes for estimating the relationship structure between features when the data come from related (but distinct) longitudinal sources. A novel application of these ideas is for…
Measuring the topological overlap of two graphs becomes important when assessing the changes between temporally adjacent graphs in a time-evolving network. Current methods depend on the fraction of nodes that have persisting edges. This…
Data depth has been applied as a nonparametric measurement for ranking multivariate samples. In this paper, we focus on homogeneity tests to assess whether two multivariate samples are from the same distribution. There are many data…
We introduce a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of primary interest are functionals of these coefficients, including predicted one-step-ahead and stationary…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…
We propose a scheme to test Bell's inequalities for an arbitrary number of measurement outcomes on entangled continuous variable states. The Bell correlation functions are expressible in terms of phase-space quasiprobability functions with…
In this paper, we test whether two datasets share a common clustering structure. As a leading example, we focus on comparing clustering structures in two independent random samples from two mixtures of multivariate normal distributions.…
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its…