相关论文: Autocorrelation Test under Frequent Mean Shifts

We propose a new asymptotic test to assess the stationarity of a time series' mean that is applicable in the presence of both heteroscedasticity and short-range dependence. Our test statistic is composed of Gini's mean difference of local…

Change-points in time series data are usually defined as the time instants at which changes in their properties occur. Detecting change-points is critical in a number of applications as diverse as detecting credit card and insurance frauds,…

Temporal data are increasingly prevalent in modern data science. A fundamental question is whether two time series are related or not. Existing approaches often have limitations, such as relying on parametric assumptions, detecting only…

We develop conservative tests for the mean of a bounded population under stratified sampling and apply them to risk-limiting post-election audits. The tests are ``anytime valid'' under sequential sampling, allowing optional stopping in each…

We present here a general iterative formula which gives a (formal) series expansion for the time autocorrelation of smooth dynamical variables, for all Hamiltonian systems endowed with an invariant measure. We add some criteria, theoretical…

Conformal inference provides a rigorous statistical framework for uncertainty quantification in machine learning, enabling well-calibrated prediction sets with precise coverage guarantees for any classification model. However, its reliance…

This paper proposes a new test for a change point in the mean of high-dimensional data based on the spatial sign and self-normalization. The test is easy to implement with no tuning parameters, robust to heavy-tailedness and theoretically…

Changepoint localization is the problem of estimating the index at which a change occurred in the data generating distribution of an ordered list of data, or declaring that no change occurred. We present the broadly applicable MCP…

Time in-homogeneous cyclic Markov chain Monte Carlo (MCMC) samplers, including deterministic scan Gibbs samplers and Metropolis within Gibbs samplers, are extensively used for sampling from multi-dimensional distributions. We establish a…

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…

This paper considers the problem of testing temporal homogeneity of $p$-dimensional population mean vectors from the repeated measurements of $n$ subjects over $T$ times. To cope with the challenges brought by high-dimensional longitudinal…

NMR is uniquely endowed to analyze dynamics, with line shape and relaxation measurements covering timescales over several orders of magnitude. Further insight arises from pulse sequences like chemical exchange saturation transfer or…

The autocorrelation of an asteroseismic time series has been identified as a powerful tool capable of providing measurements of the large frequency separations. The performance of this method has been assessed and quantified by Mosser &…

One form of big data are signals - time series of consecutive values. In physical experiments, billions of values can now be measured within a second. Signals of heart and brain in intensive care, as well as seismic waves, are measured with…

A wide variety of complex systems exhibit large fluctuations both in space and time that often can be attributed to the presence of some kind of critical phenomena. Under such critical scenario it is well known that the properties of the…

Conformal prediction is a framework for predictive inference with a distribution-free, finite-sample guarantee. However, it tends to provide uninformative prediction sets when calibration data are scarce. This paper introduces…

Functional panels are collections of functional time series, and arise often in the study of high frequency multivariate data. We develop a portmanteau style test to determine if the cross-sections of such a panel are independent and…

Self-consistent theory of electron localization in disordered systems is generalized for the case of interacting electrons. We propose and critically compare a number of possible self-consistency schemes which take into account the lowest…

We present a theorem concerning the invariance of cross-correlation peak positions, which provides a foundation for a new method for time difference estimation that is potentially faster than the conventional fast Fourier transform (FFT)…

We establish almost sure invariance principles (ASIP), a strong form of approximation by Brownian motion, for non-stationary time series arising as observations on sequential maps possessing an indifferent fixed point. These transformations…