Two Tests for Dependence (of Unknown Form) between Time Series
Entropy, 2019 This paper proposes two new nonparametric tests for independence between time series. Both tests are based on symbolic analysis, specifically on symbolic correlation integral, in order to be robust to potential unknown nonlinearities.
M. Victoria Caballero-Pintado +3 more
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LIMITS AND CONFIDENCE INTERVALS IN THE PRESENCE OF NUISANCE PARAMETERS [PDF]
Statistical Problems in Particle Physics, Astrophysics and Cosmology, 2005 We study the frequentist properties of confidence intervals computed by the method known to statisticians as the Profile Likelihood. It is seen that the coverage of these intervals is surprisingly good over a wide range of possible parameter values for important classes of problems, in particular whenever there are additional nuisance parameters with ...
ROLKE, WOLFGANG A. +2 more
openaire +4 more sources
Doppler stretch and delay Cramer-Rao lower bound for signal with large bandwidth
Известия высших учебных заведений России: Радиоэлектроника, 2016 In this paper Cramer-Rao lower bound of joint Doppler stretch and delay estimation for wideband signal is derived. We use wideband term to denote cases in which narrowband signal model is inappropriate.
I. V. Gogolev
doaj
Nuisance parameters, composite likelihoods and a panel of GARCH models [PDF]
We investigate the properties of the composite likelihood (CL) method for (T ×N_T ) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series, other parameters ...
Neil Shephard +2 more
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Asymptotic behaviour of estimation equations with functional nuisance or working parameter [PDF]
, 1997 We are concerned with the asymptotic theory of semiparametric estimation equations. We are dealing with estimation equations which have a parametric component of interest and a functional (nonparametric) nuisance component.
Pruscha, H., Wellisch, U.
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A Smoothed P-Value Test When There is a Nuisance Parameter under the Alternative [PDF]
, 2022 We present a new test when there is a nuisance parameter under the alternative hypothesis. The test exploits the p-value occupation time [PVOT], the measure of the nuisance parameter subset on which a p-value test based on a a test statistic rejects the ...
Hill, Jonathan B.
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Objective Priors for Invariant e-Values in the Presence of Nuisance Parameters
EntropyThis paper aims to contribute to refining the e-values for testing precise hypotheses, especially when dealing with nuisance parameters, leveraging the effectiveness of asymptotic expansions of the posterior. The proposed approach offers the advantage of
Elena Bortolato, Laura Ventura
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Constructing Optimal Tests on a Lagged Dependent Variable [PDF]
Via the leading unit root case, the problem of testing on a lagged dependent variable is characterized by a nuisance parameter which is present only under the alternative (see Andrews and Ploberger (1994)).
Patrick Marsh
core
Bayesian inference: more than Bayes’s theorem
Frontiers in Astronomy and Space SciencesBayesian inference gets its name from Bayes’s theorem, expressing posterior probabilities for hypotheses about a data generating process as the (normalized) product of prior probabilities and a likelihood function.
Thomas J. Loredo, Robert L. Wolpert
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A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada [PDF]
We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from target levels.
Douglas James Hodgson
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