Testing for multimodality with dependent data
依赖数据的多峰性检验AI 解读 ↓
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依赖数据的多峰性检验AI 解读 ↓
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We propose a test for multimodality with dependent data by resampling from a suitably constructed transition probability kernel, which includes Silverman's test with independent data as a special case. We extend some theoretical properties of Silverman's test with independent and identically distributed data to weakly dependent data, and also discuss the robustness of Silverman's test against departure from independence.
自适应 Lasso 解路径单位根检验的自助法改进
We propose sieve wild bootstrap analogues to the adaptive Lasso solution path unit root tests of Arnold and Reinschlüssel (2024) arXiv:2404.06205 to improve finite sample properties and extend their applicability to a generalised framework, allowing for non-stationary volatility. Numerical evidence shows the bootstrap to improve the tests' precision for error processes that promote spurious rejections of the unit root null, depending on the detrending procedure. The…
Uniform confidence bands are widely used in empirical analysis for uncertainty qualification of nonparametric inference of unknown functions. A variety of simple implementation methods, including multiplier bootstrap, have been proposed and theoretically justified. However, an implementation over a literally continuous index set is generally computationally infeasible, and practitioners therefore compute the critical value by evaluating the statistic on a finite evaluation…
We study nonparametric inference for a continuous-treatment causal dose-response curve and its first derivative under unmeasured confounding, using treatment- and outcome-inducing proxies. We establish a proximal doubly robust pseudo-outcome whose conditional mean given treatment equals the dose-response curve whenever either bridge function is correctly specified. Their (smoothed) efficient influence function representations lead to cross-fitted local-polynomial estimators…
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
随机分配回归变量的自助法推断:协方差过滤与边际重抽样的局限
Random assignment can make ordinary least squares (OLS) inference insensitive to outcome dependence, yet iid resampling can still fail because assignment and resampling need not remove the same covariance terms. With binary treatment, the iid variance target differs from the sampling variance by exactly minus aggregate cross-unit covariance of treatment effects. Under a Gaussian first-order limit, positive covariance leads to over-rejection and negative covariance to…
SPARK:基于残差投影的通用拟合优度评估
Goodness-of-fit testing is a basic tool for assessing whether a fitted procedure has captured the systematic information contained in the covariates. While traditional theory has largely focused on parametric regression models, modern data analysis increasingly relies on flexible black-box learners, whose predictive success alone is insufficient to assess model accuracy. In this paper, we propose SPARK, a general framework for goodness-of-fit testing that applies to…