Related papers: Testing for cross-quantilogram change
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence criterion (HSIC) to test the independence between the…
Davis and Mikosch [7] introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram.…
This paper considers identification and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity. The effects of interest are derivatives of the average and quantile structural…
This paper proposes a new test for the comparison of conditional quantile curves when the outcome of interest, typically a duration, is subject to right censoring. The test can be applied both in the case of two independent samples and for…
The identification of similar patient pathways is a crucial task in healthcare analytics. A flexible tool to address this issue are parametric competing risks models, where transition intensities may be specified by a variety of parametric…
Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes…
A time-domain test for the assumption of second order stationarity of a functional time series is proposed. The test is based on combining individual cumulative sum tests which are designed to be sensitive to changes in the mean, variance…
In this paper we proposed the alternative test to the two independent and normally distributed samples t test based on the cross variance concept. We present the simulation results of the power and the error rate of the special case of the…
Determining if two histograms are consistent, whether they have been drawn from the same underlying distribution or not, is a common problem in physics. Existing approaches are not only limited in power but also inapplicable to histograms…
We describe two families of statistical tests to detect partial correlation in vectorial timeseries. The tests measure whether an observed timeseries Y can be predicted from a second series X, even after accounting for a third series Z…
We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly…
An effective description of microscopic measurements is given, in which the precise moment of probing is not determined. Within this scenario we propose a scheme that relies on an "attempt" to make a forbidden simultaneous measurement of…
Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on…
We present a test for independence of two strictly stationary time series based on a bootstrap procedure for the distance covariance. Our test detects any kind of dependence between the two time series within an arbitrary maximum lag $L$.…
Generalized quantum mechanics is used to examine a simple two-particle scattering experiment in which there is a bounded region of closed timelike curves (CTCs) in the experiment's future. The transitional probability is shown to depend on…
The quantization of a constant of motion for the harmonic oscillator with a time-explicitly depending external force is carried out. This quantization approach is compared with the normal Hamiltonian quantization approach. Numerical results…
Choi and Shin (2020) have constructed a bootstrap-based test for change-points in panels with temporal and and/or cross-sectional dependence. They have compared their test to several other proposed tests. We demonstrate that by an…
A new time series bootstrap scheme, the time frequency toggle (TFT)-bootstrap, is proposed. Its basic idea is to bootstrap the Fourier coefficients of the observed time series, and then to back-transform them to obtain a bootstrap sample in…
The problem of the estimation of relevance to a set of histograms generated by samples of a discrete time process is discussed on the base of the variational principles proposed in the previous paper [1]. Some conditions for dimension…