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作者：Ait-Sahalia, Yacine; Fan, Jianqing; Jiang, Jiancheng
作者单位：Princeton University; National Bureau of Economic Research; Princeton University; University of North Carolina; University of North Carolina Charlotte
摘要：We propose several statistics to test the Markov hypothesis for beta-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman Kolmogorov equation. We establish the asymptotic null distributions of the proposed test statistics, showing that Wilks's phenomenon holds. We compute the power of the test and provide simulations to investigate the finite sample performance of the test statistics when the null model is a diffusion process, with alternatives con...
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作者：Wang, Weizhen
作者单位：University System of Ohio; Wright State University Dayton
摘要：For my class of one-sided 1 - alpha confidence intervals with a certain monotonicity ordering on the random confidence limit, the smallest interval, in the sense of the set inclusion for the difference of two proportions of two independent binomial random variables, is constructed based on a direct analysis of coverage probability function. A special ordering on the confidence limit is developed and the corresponding smallest confidence interval is derived. This interval is then applied to ide...
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作者：Evans, Michael; Jang, Gun Ho
作者单位：University of Toronto
摘要：P-values have been the focus of considerable criticism based on various considerations. Still, the P-value represents one of the most commonly used statistical tools. When assessing the suitability of a single hypothesized distribution, it is not clear that there is a better choice for a measure of surprise. This paper is concerned with the definition of appropriate model-based P-values for model checking.
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作者：Golubev, Georgi K.; Nussbaum, Michael; Zhou, Harrison H.
作者单位：Aix-Marseille Universite; Cornell University; Yale University
摘要：We consider the statistical experiment given by a sample y(l),...,y(n) of a stationary Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence, in the sense of Le Cam's deficiency Delta-distance, to two Gaussian experiments with simpler structure is established. The first one is given by independent zero mean Gaussians with variance approximately f(omega(i)), where omega(i) is a uniform grid of points in (-pi, pi) (nonparametric Gaussian scale regression). This appro...
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作者：Jacob, Christine
作者单位：INRAE; Universite Paris Saclay
摘要：Let {Z(n)} be a real nonstationary stochastic process such that E(Z(n)vertical bar Fn-1) <(a.s.) infinity and E(Z(n)(2)vertical bar Fn-1) <(a.s.) infinity, where {F-n} is an increasing sequence of sigma-algebras. Assuming that E(Z(n)vertical bar Fn-1) = gn(theta(0), nu(0)) = g(n)((1))(theta(0)) + g(n)((2))(theta(0), nu(0)), theta(0) is an element of R-p, p < infinity, nu(0) is an element of R-q and q <= infinity, we study the symptotic properties of <(theta)over cap>(n) := arg min(theta) Sigma...
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作者：Bathia, Neil; Yao, Qiwei; Ziegelmann, Flavio
作者单位：University of London; London School Economics & Political Science; Universidade Federal do Rio Grande do Sul
摘要：The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence across different curves. The practical implementation of our method boils down to an eigenanalysis of a finite-dimensional matrix. Furthermore, the determination of the dimensionality is equivalent to the identification of the nonzero eigenvalues of the matr...
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作者：Cheng, Guang; Huang, Jianhua Z.
作者单位：Purdue University System; Purdue University; Texas A&M University System; Texas A&M University College Station
摘要：Consider M-estimation in a semiparametric model that is characterized by a Euclidean parameter of interest and an infinite-dimensional nuisance parameter. As a general purpose approach to statistical inferences, the bootstrap has found wide applications in semiparametric M-estimation and, because of its simplicity, provides an attractive alternative to the inference approach based on the asymptotic distribution theory. The purpose of this paper is to provide theoretical justifications for the ...
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作者：McKeague, Ian W.; Sen, Bodhisattva
作者单位：Columbia University; Columbia University
摘要：This paper develops a point impact linear regression model in which the trajectory of a continuous stochastic process, when evaluated at a sensitive time point, is associated with a scalar response. The proposed model complements and is more interpretable than the functional linear regression approach that has become popular in recent years. The trajectories are assumed to have fractal (self-similar) properties in common with a fractional Brownian motion with an unknown Hurst exponent. Bootstr...
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作者：Wang, Yazhen; Zou, Jian
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Connecticut
摘要：High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility. For problems involving a large number of assets, the estimation objects we face are volatility matrices of large size. The existing volatility estimators work well for a small number of assets but perform poorly when the number of assets is very large. In fact, they are inco...
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作者：Romano, Joseph P.; Wolf, Michael
作者单位：Stanford University; Stanford University; University of Zurich
摘要：Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized family-wise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and step-down procedures that control the k-FWER in finite samples or asymptotically, depending on the situation. Moreover, the procedures are asymptotically balanced in an appropriate sense. We briefly consider control of the average number of fal...
