相关论文: A Kolmogorov-Smirnov type test for two inter-depen…

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and their nonparametric bootstrap counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula…

We extend the Kolmogorov--Smirnov (K-S) test to multiple dimensions by suggesting a $\mathbb{R}^n \rightarrow [0,1]$ mapping based on the probability content of the highest probability density region of the reference distribution under…

We present an efficient algorithm that, given a discrete random variable $X$ and a number $m$, computes a random variable whose support is of size at most $m$ and whose Kolmogorov distance from $X$ is minimal, also for the one-sided…

This paper considers parametric model adequacy tests for nonlinear multivariate dynamic models. It is shown that commonly used Kolmogorov-type tests do not take into account cross-sectional nor time-dependence structure, and a test, based…

We propose a test of the conditional independence of random variables $X$ and~$Y$ given~$Z$ under the additional assumption that $X$ is stochastically nondecreasing in~$Z$. The well-documented hardness of testing conditional independence…

Big Data has become an ever more commonplace setting that is encountered by data analysts. In the Big Data setting, analysts are faced with very large numbers of observations as well as data that arrive as a stream, both of which are…

Consider a set of multivariate distributions, $F_1,\dots,F_M$, aiming to explain the same phenomenon. For instance, each $F_m$ may correspond to a different candidate background model for calibration data, or to one of many possible signal…

We obtain sufficient conditions for the uniqueness of a probability solution to the stationary Kolmogorov equation with a degenerate diffusion matrix. We employ the method of doubling variables known in stochastic analysis directly to the…

Statistical properties of interbeat intervals cascade are evaluated by considering the joint probability distribution $P(\Delta x_2,\tau_2;\Delta x_1,\tau_1)$ for two interbeat increments $\Delta x_1$ and $\Delta x_2$ of different time…

Let $X_1,\dots, X_n,\dots$ be i.i.d.\ $d$-dimensional random vectors with common distribution $F$. Then $S_n = X_1+\dots+X_n$ has distribution $F^n$ (degree is understood in the sense of convolution). Let $$ \rho_{\mathcal{C}_d}(F,G) =…

The paper aim is the axiomatic justification of the theory of experience and chance, one of the dual halves of which is the Kolmogorov probability theory. The author's main idea was the natural inclusion of Kolmogorov's axiomatics of…

We consider the goodness of fit testing problem for stochastic differential equation with small diffiusion coefficient. The basic hypothesis is always simple and it is described by the known trend coefficient. We propose several tests of…

This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown finite-dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution-free while…

Conditional independence (CI) testing arises naturally in many scientific problems and applications domains. The goal of this problem is to investigate the conditional independence between a response variable $Y$ and another variable $X$,…

Classical tests of fit typically reject a model for large enough real data samples. In contrast, often in statistical practice a model offers a good description of the data even though it is not the "true" random generator. We consider a…

Consider a random sample $X_1 , X_2 , ..., X_n$ drawn independently and identically distributed from some known sampling distribution $P_X$. Let $X_{(1)} \le X_{(2)} \le ... \le X_{(n)}$ represent the order statistics of the sample. The…

We analyse the proof of Bell's inequality and demonstrate that this inequality is related to one particular model of probability theory, namely Kolmogorov measure-theoretical axiomatics, 1933. We found a (numerical) statistical correction…

We review a finite-sampling exponential bound due to Serfling and discuss related exponential bounds for the hypergeometric distribution. We then discuss how such bounds motivate some new results for two-sample empirical processes. Our…

We develop the distribution of the number of hypotheses found to be statistically significant using the rule from Benjamini and Hochberg (1995) for controlling the false discovery rate (FDR). This distribution has both a small sample form…

We explore in depth the validity of a recently proposed scaling law for earthquake interevent time distributions in the case of the Southern California, using the waveform cross-correlation catalog of Shearer et al. Two statistical tests…