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The V/S test of long-range dependence in random fields
Long memory V/S statistic random fields
2009/9/16
Recently, Giraitis et al. (2003, [10]) proposed the $V/S$ statistic for testing long memory in random sequences. We generalize this statistic to the setting of random fields. The null hypothesis is co...
A powerful test based on tapering for use in functional data analysis
functional data analysis quadratic forms high-dimensional testing rates of testing Fourier decomposition
2009/9/16
A test based on tapering is proposed for use in testing a global linear hypothesis under a functional linear model. The test statistic is constructed as a weighted sum of squared linear combinations o...
Some Properties of the Point Optimal Invariant Test for the Constancy of Parameters
characteristic function constancy of parameters locally best invariant test point optimal invariant test power envelope
2009/3/10
In this paper we consider the time-varying parameter model. Since there is no uniformly most powerful test for the constancy of parameters, the locally best invariant (LBI) test has often been conside...
Effect of W，LR，and LM Tests on the Performance of Preliminary Test Ridge Regression Estimators
Lagrangian multiplier likelihood ratio test preliminary test ridge regression risk superiority Wald test
2009/3/10
The preliminary test ridge regression estimators (PTRRE) based on the Wald (W), Likelihood Ratio (LR) and Lagrangian Multiplier (LM) tests are considered in this paper. Using risks, the regions of opt...
The Cusum Test for Parameter Change in Regression Models with ARCH Errors
Brownian bridge regression models with ARCH errors residual cusum test test for parameter change weak convergence
2009/3/10
In this paper we consider the problem of testing for a parameter change in regression models with ARCH errors based on the residual cusum test. It is shown that the limiting distribution of the residu...
Asymptotic Results of a High Dimensional MANOVA Test and Power Comparison When the Dimension is Large Compared to the Sample Size
Hiroshima University
2009/3/9
This paper is concerned with Dempster trace criterion for multivariate linear hypothesis which was proposed for high dimensional situation. First we derive asymptotic null and nonnull distributions of...
Nonparametric Test for Eigenvalues of Covariance Matrix in Multipopulation
eigenvalues k-sample Mood test nonparametric test principal component score
2009/3/5
We propose a nonparametric procedure to test the hypothesis that the j-th largest eigenvalues of a covariance matrix are equal in multipopulation. We apply the Mood test by using the principal compone...
A Test of Equality of Mean Vectors of Several Heteroscedastic Multivariate Populations
asymptotic expansion Bartlett's type adjustment differential operator heteroscedasticity local power nonnormality nonnull distribution one-way MANOVA
2009/3/5
This paper deals with a test of equality of mean vectors of several heteroscedastic multivariate populations. We derive not only the asymptotic expansion up to N−1 of the nonnull distribution of...
The Wald-Type Test of a Normalization of Cointegrating Vectors
cointegration identification normalization vector autoregression
2009/3/5
This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Wald-type test. The ...
Conditions for Robustness to Nonnormality on Test Statistics in a GMANOVA Model
actual test size asymptotic expansion Bartlett correction chi-square approximation general multivariate linear hypothesis modified Bartlett correction
2009/3/5
This paper presents the conditions for robustness to the nonnormality on\break three test statistics for a general multivariate linear hypothesis, which were proposed under the normal assumption in a ...
A test of goodness-of-fit for the copula densities
Adaptation Copula Density Minimax Theory of Test GoodnessTest of Fit
2010/3/18
We consider the problem of testing hypotheses on the copula density from n bidimensional
observations. We wish to test the null hypothesis characterized by a
parametric class against a composite non...
EXPONENTIALITY VERSUS GENERALIZED PARETO——A RESISTANT AND ROBUST TEST
generalized Pareto distribution breakdown point resistance robustness broadened situations mixtures
2009/2/26
Using resistant and robust methods we propose the statistic Tn= (FU−M)/(M−FL)
for testing exponentiality versus generalized Pareto, where FU, FL and M are, respectively,
the upper and lo...
A NON-PARAMETRIC TEST FOR NON-INDEPENDENT NOISES AGAINST A BILINEAR DEPENDENCE
time series asymptotic separation bilinear models test
2009/2/26
A new methodology, based on the asymptotic separation of probability laws, was introduced by Gon»calves, Jacob and Mendes-Lopes (2000) in the development of the statistical inference of bilinear...
On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
goodness-of-fit test kernel density estimator Bahadur efficiency
2009/2/23
For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f =f0 and we use them to get a be...
Divergences Test Statistics for Discretely Observed Diffusion Processes
diffusion processes empirical level hypotheses testing divergences -divergences
2010/4/30
In this paper we propose the use of -divergences as test statistics to verify
simple hypotheses about a one-dimensional parametric diffusion process
dXt = b(Xt, )dt + (Xt, )dWt, from discrete ob...