相关论文: Asymptotic local efficiency of Cram\'{e}r--von Mis…

In the classical two-sample problem, the conventional approach for testing distributions equality is based on the difference between the two marginal empirical distribution functions, whereas a test for independence is based on the contrast…

We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…

The large-sample behavior of non-degenerate multivariate $U$-statistics of arbitrary degree is investigated under the assumption that their kernel depends on parameters that can be estimated consistently. Mild regularity conditions are…

Due to the lack of a canonical ordering in ${\mathbb R}^d$ for $d>1$, defining multivariate generalizations of the classical univariate ranks has been a long-standing open problem in statistics. Optimal transport has been shown to offer a…

We consider the problem of testing for long-range dependence in time-varying coefficient regression models, where the covariates and errors are locally stationary, allowing complex temporal dynamics and heteroscedasticity. We develop KPSS,…

In the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models,…

Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional absolutely continuous density can be uniquely represented as the…

We propose a test of independence of two multivariate random vectors, given a sample from the underlying population. Our approach, which we call MINT, is based on the estimation of mutual information, whose decomposition into joint and…

Consider a continuous random pair $(X,Y)$ whose dependence is characterized by an extreme-value copula with Pickands dependence function $A$. When the marginal distributions of $X$ and $Y$ are known, several consistent estimators of $A$ are…

We consider the goodness of fit testing problem for ergodic diffusion processes. The basic hypothesis is supposed to be simple. The diffusion coefficient is known and the alternatives are described by the different trend coefficients. We…

Measuring a strength of dependence of random variables is an important problem in statistical practice. In this paper, we propose a new function valued measure of dependence of two random variables. It allows one to study and visualize…

We propose an independence test for random variables valued into metric spaces by using a test statistic obtained from appropriately centering and rescaling the squared Hilbert-Schmidt norm of the usual empirical estimator of normalized…

Constraint based causal structure learning for point processes require empirical tests of local independence. Existing tests require strong model assumptions, e.g. that the true data generating model is a Hawkes process with no latent…

Conditional local independence is an asymmetric independence relation among continuous time stochastic processes. It describes whether the evolution of one process is directly influenced by another process given the histories of additional…

The empirical copula process, a fundamental tool for copula inference, is studied in the high dimensional regime where the dimension is allowed to grow to infinity exponentially in the sample size. Under natural, weak smoothness assumptions…

In this work, we generalize the Cram\'er-von Mises statistic via projection-averaging to obtain a robust test for the multivariate two-sample problem. The proposed test is consistent against all fixed alternatives, robust to heavy-tailed…

This paper derives asymptotic theory for Breitung's (2002, Journal of Econometrics 108, 343-363) nonparameteric variance ratio unit root test when applied to regression residuals. The test requires neither the specification of the…

Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein…

In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…

The object of study is the problem of testing for uniformity of the multinomial distribution. We consider tests based on symmetric statistics, defined as the sum of some function of cell-frequencies. Mainly, attention is focused on the…