Ciuperca, Gabriela
Published in
Metrika

This article proposes a test statistic based on the adaptive LASSO quantile method to detect in real-time a change in a linear model. The model can have a large number of explanatory variables and the errors don’t satisfy the classical assumptions for a statistical model. For the proposed test statistic, the asymptotic distribution under H0\documen...

Henze, N. Kirch, C. Meintanis, S. G.
Published in
Metrika

Jarušková, Daniela
Published in
Metrika

A sequence of independent vectors with correlated components is considered. It is supposed that there is one change point in the mean of each component and changes need not occur simultaneously. The asymptotic distribution of the change point estimators is studied. If the true change points are well separated, the explicit asymptotic distribution o...

Alnosaier, Waseem Birkes, David
Published in
Metrika

For testing a linear hypothesis about fixed effects in a normal mixed linear model, a popular approach is to use a Wald test, in which the test statistic is assumed to have a null distribution that is approximately chi-squared. This approximation is questionable, however, for small samples. In 1997 Kenward and Roger constructed a test that addresse...

Duan, Fang Wied, Dominik
Published in
Metrika

We propose a new multivariate constant correlation test based on residuals. This test takes into account the whole correlation matrix instead of the considering merely marginal correlations between bivariate data series. In financial markets, it is unrealistic to assume that the marginal variances are constant. This motivates us to develop a consta...

Nikitin, Ya. Yu.
Published in
Metrika

We consider two scale-free tests of normality based on the characterization of the symmetric normal law by Ahsanullah et al. (Normal and student’s t-distributions and their applications, Springer, Berlin, 2014). Both tests have an U-empirical structure, but the first one is of integral type, while the second one is of Kolmogorov type. We discuss th...

Messer, Michael Albert, Stefan Schneider, Gaby
Published in
Metrika

A framework for the detection of change points in the expectation in sequences of random variables is presented. Specifically, we investigate time series with general distributional assumptions that may show an unknown number of change points in the expectation occurring on multiple time scales and that may also contain change points in other param...

Weiß, Christian H.
Published in
Metrika

Popular goodness-of-fit tests like the famous Pearson test compare the estimated probability mass function with the corresponding hypothetical one. If the resulting divergence value is too large, then the null hypothesis is rejected. If applied to i. i. d. data, the required critical values can be computed according to well-known asymptotic approxi...

Móri, Tamás F. Székely, Gábor J.
Published in
Metrika

Recently new methods for measuring and testing dependence have appeared in the literature. One way to evaluate and compare these measures with each other and with classical ones is to consider what are reasonable and natural axioms that should hold for any measure of dependence. We propose four natural axioms for dependence measures and establish w...

Delattre, Maud Genon-Catalot, Valentine Larédo, Catherine
Published in
Metrika

Consider N independent stochastic processes (Xi(t),t∈[0,T])\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(X_i(t), t\in [0,T])$$\end{document}, i=1,…,N\documentclass[1...