相关论文: Improved Pena-Rodriguez Portmanteau Test
Bernstein fits implemented into R allow another route for Kruskal-Wallis power-study tool development. Monte-Carlo Kruskal-Wallis power studies were compared with measured power, with Monte-Carlo ANOVA equivalent and with an analytical…
Parametric and semiparametric tests of circular reflective symmetry about an unknown central direction are developed that are locally and asymptotically optimal in the Le Cam sense against asymmetric $k$-sine-skewed alternatives. The…
We consider conditional exact tests of factor effects in designed experiments for discrete response variables. Similarly to the analysis of contingency tables, a Markov chain Monte Carlo method can be used for performing exact tests, when…
This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
We propose a class of weighted $L_2$-type tests of fit to the Gamma distribution. Our novel procedure is based on a fixed point property of a new transformation connected to a Steinian characterization of the family of Gamma distributions.…
We consider forecast comparison in the presence of instability when this affects only a short period of time. We demonstrate that global tests do not perform well in this case, as they were not designed to capture very short-lived…
We introduce a class of $\gamma$-negatively dependent random samples. We prove that this class includes, apart from Monte Carlo samples, in particular Latin hypercube samples and Latin hypercube samples padded by Monte Carlo. For a…
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…
Consider two random variables contaminated by two unknown transformations. The aim of this paper is to test the equality of those transformations. Two cases are distinguished: first, the two random variables have known distributions.…
We propose new goodness-of-fit tests for the Pareto type I distribution. These tests are based on a multiplicative version of the memoryless property which characterises this distribution. We present the results of a Monte Carlo power study…
Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of quasi-Monte Carlo (QMC) method, whose convergence rate is…
We describe an embarrassingly parallel, anytime Monte Carlo method for likelihood-free models. The algorithm starts with the view that the stochasticity of the pseudo-samples generated by the simulator can be controlled externally by a…
We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…
The efficiency of Hamiltonian Monte Carlo (HMC) can suffer when sampling a distribution with a wide range of length scales, because the small step sizes needed for stability in high-curvature regions are inefficient elsewhere. To address…
We consider an alternative to the Monte Carlo method for dust continuous radiative transfer simulations: the Quasi-Monte Carlo method. We briefly discuss what it is, its history, and possible implementations. We compare the Monte Carlo…
The performance of a number of different measures of nonlinearity in a time series is compared numerically. Their power to distinguish noisy chaotic data from linear stochastic surrogates is determined by Monte Carlo simulation for a number…
Power-law distributions contain precious information about a large variety of processes in geoscience and elsewhere. Although there are sound theoretical grounds for these distributions, the empirical evidence in favor of power laws has…
Many modern products exhibit high reliability, often resulting in long times to failure. Consequently, conducting experiments under normal operating conditions may require an impractically long duration to obtain sufficient failure data for…
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…