Sequential Nonparametric Tests for a Change in Distribution: An Application to Detecting Radiological Anomalies
分布变化的序贯非参数检验:放射性异常检测应用AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究序贯分布变化检测,与结构变化方向的方法问题直接相关,应用场景则是辐射监测。
分布变化的序贯非参数检验:放射性异常检测应用AI 解读 ↓
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We propose a sequential nonparametric test for detecting a change in distribution, based on windowed Kolmogorov–Smirnov statistics. The approach is simple, robust, highly computationally efficient, easy to calibrate, and requires no parametric assumptions about the underlying null and alternative distributions. We show that both the false-alarm rate and the power of our procedure are amenable to rigorous analysis, and that the method outperforms existing sequential testing procedures in practice. We then apply the method to the problem of detecting radiological anomalies, using data collected from measurements of the background gamma-radiation spectrum on a large university campus. In this context, the proposed method leads to substantial improvements in time-to-detection for the kind of radiological anomalies of interest in law-enforcement and border-security applications.Supplementary materials for this article, including a standardized description of the materials available for reproducing the work, are available as an online supplement.
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…
时变可预测性的稳健推断:Sieve-IVX 方法
Predictive regression models are often used to evaluate the predictive capability of economic fundamentals on bond and equity returns. Inferential procedures in these regressions typically employ parameter constancy or piecewise constancy in slope coefficients. Such formulations are prone to misspecification, more especially during periods of disturbance or evolution in prevailing economic and financial conditions, which can lead to size distortion and spurious evidence of…
SCAN:通过自适应非参数推断依次检测变点
Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using…
利用多分位数稳健检验多变量波动率的结构变化
We propose an omnibus nonparametric test for structural changes in the multivariate volatility matrix. The test aggregates bounded generalized quantile scores over a range of quantile levels and has a weighted leave-$q$-out $U$-statistic representation. Deleting nearby index pairs renders the centering effect induced by serial dependence asymptotically negligible. All quantities required for implementation, including the variance estimator used for standardization, are…
非平稳时间序列中稳定区间的检验
Many time series are not stable over their full observation horizon, but may contain scientifically meaningful periods during which a signal remains stable up to a prescribed tolerance. We formulate this as an existence test for stable intervals in a non-stationary regression model with dependent, locally stationary errors. For a signal $d$ derived from the mean function, including deviations from reference levels and derivatives, stability over duration $δ$ is encoded by $d_\infty=\inf_{t\in[0,1-δ]}\sup_{s\in[t,t+δ]}|d(s)|$…
协整系统中平滑结构变化的检验
This paper develops an econometric framework for analysing smooth structural change in cointegrated systems following a known intervention time. We consider a vector error-correction model in which the cointegration rank and the pre-intervention cointegrating structure are identified from a stable pre-intervention subsample. After the intervention, both the adjustment coefficients and the cointegrating vectors are allowed to evolve smoothly as functions of rescaled time,…