相关论文: Testing for exponentiality for stationary associat…

We study the out of equilibrium dynamics of an elastic manifold in a random potential using mean-field theory. We find two asymptotic time regimes: (i) stationary dynamics, (ii) slow aging dynamics with violation of equilibrium theorems. We…

For an arbitrary integer N that is at least 2, this paper gives a construction of a strictly stationary, N-tuplewise independent sequence of (non-degenerate) bounded random variables such that the Central Limit Theorem fails to hold. The…

We are giving one characterization result of exponential distribution using extropy of nth upper k-record value. We introduce test statistics based on the proposed characterization result that will be used to test exponentially. The…

Some effort has been undertaken over the last decade to provide conditions for the control of the false discovery rate by the linear step-up procedure (LSU) for testing $n$ hypotheses when test statistics are dependent. In this paper we…

Sequential likelihood ratio testing is found to be most powerful in sequential studies with early stopping rules when grouped data come from the one-parameter exponential family. First, to obtain this elusive result, the probability measure…

An overview of existing nonparametric tests of extreme-value dependence is presented. Given an i.i.d.\ sample of random vectors from a continuous distribution, such tests aim at assessing whether the underlying unknown copula is of the {\em…

This paper studies permutation tests for regression parameters in a time series setting, where the time series is assumed stationary but may exhibit an arbitrary (but weak) dependence structure. In such a setting, it is perhaps surprising…

We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots…

A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, we give the second-order stationarity conditions and the…

We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate…

We consider exponential large deviations estimates for unbounded observables on uniformly expanding dynamical systems. We show that uniform expansion does not imply the existence of a rate function for unbounded observables no matter the…

We propose nonparametric open-end sequential testing procedures that can detect all types of changes in the contemporary distribution function of possibly multivariate observations. Their asymptotic properties are theoretically investigated…

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…

We consider the sequential composite binary hypothesis testing problem in which one of the hypotheses is governed by a single distribution while the other is governed by a family of distributions whose parameters belong to a known set…

In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting…

We show that the nonstandard limiting distribution of HAR test statistics under fixed-b asymptotics is not pivotal (even after studentization) when the data are nonstationarity. It takes the form of a complicated function of Gaussian…

The time-dependent probability density function of a system evolving towards a stationary state exhibits an oscillatory behavior if the eigenvalues of the corresponding evolution operator are complex. The frequencies \omega_n, with which…

We consider a stationary $AR(p)$ model. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parameter estimates, an analog of empirical distribution function is defined and…

We investigate the nonparametric, composite hypothesis testing problem for arbitrary unknown distributions in the asymptotic regime where both the sample size and the number of hypotheses grow exponentially large. Such asymptotic analysis…

This paper provides some useful tests for fitting a parametric single-index regression model when covariates are measured with error and validation data is available. We propose two tests whose consistency rates do not depend on the…