Related papers: Tests for constancy of model parameters Over time
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
Classical two-sample permutation tests for equality of distributions have exact size in finite samples, but they fail to control size for testing equality of parameters that summarize each distribution. This paper proposes permutation tests…
We consider the problem of estimating the parameters of a supercritical controlled branching process consistently from a single observed trajectory of population size counts. Our goal is to establish which parameters can and cannot be…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the…
This paper discusses two goodness-of-fit testing problems. The first problem pertains to fitting an error distribution to an assumed nonlinear parametric regression model, while the second pertains to fitting a parametric regression model…
This paper deals with the problem of testing for dispersion parameter change in discretely observed diffusion processes when the observations are contaminated by outliers. To lessen the impact of outliers, we first calculate residuals using…
Recently, Brand, Ganian and Simonov introduced a parameterized refinement of the classical PAC-learning sample complexity framework. A crucial outcome of their investigation is that for a very wide range of learning problems, there is a…
We describe a unified framework within which we can build survival models. The motivation for this work comes from a study on the prediction of relapse among breast cancer patients treated at the Curie Institute in Paris, France. Our focus…
We propose and study a general method for construction of consistent statistical tests on the basis of possibly indirect, corrupted, or partially available observations. The class of tests devised in the paper contains Neyman's smooth…
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary…
Calibration, the practice of choosing the parameters of a structural model to match certain empirical moments, can be viewed as minimum distance estimation. Existing standard error formulas for such estimators require a consistent estimate…
We investigate the significance of change-points within fully nonparametric regression contexts, with a particular focus on panel data where data generation processes vary across units, and error terms may display complex dependency…
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…
Significant progress has been made in developing identification and estimation techniques for missing data problems where modeling assumptions can be described via a directed acyclic graph. The validity of results using such techniques rely…
We consider the error distribution in functional linear models with scalar response and functional covariate. Different asymptotic expansions of the empirical distribution function and the empirical characteristic function based on…
We introduce a new statistical test based on the observed spacings of ordered data. The statistic is sensitive to detect non-uniformity in random samples, or short-lived features in event time series. Under some conditions, this new test…
We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility…
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value…
This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…