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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
结构断裂 Kolmogorov-Smirnov检验 KS检验 调整范围 自归一化方法
2023/4/23
A popular self-normalization (SN) approach in time series analysis uses the variance of a partial sum as a self-normalizer. This is known to be sensitive to irregularities such as persistent autocorre...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：New extreme value theory for maxima of maxima
极大值 最大值 新极值理论
2023/4/18
Although advanced statistical models have been proposed to fit complex data better, the advances of science and technology have generated more complex data, e.g., Big Data, in which existing probabili...
TESTING FOR INDEPENDENCE IN A TWO-WAY TABLE: NEW INTERPRETATIONS OF THE CHI-SQUARE STATISTIC
Classic chi-square distribution independent statistics dimension
2015/7/14
The classical chi-square test for independence in a two-way contingency
table often rejects the independence hypothesis at an extremely small signif-
icance level, particularly when the sample siz...
A New Method of Data Compression in Multisensor Estimation Fusion
Parameter estimation data compression Bayesian decision
2011/11/7
Consider the decentralized estimation of an unknown parameter by bandwidth constrained sensor network with a fusion center. Local sensors make observations which are linearly scaled versions of these ...
New estimators of spectral distributions of Wigner matrices
Wigner matrices Stieltjes transform nonparametric estimate domain of attraction of normal law
2011/9/6
Abstract: We introduce kernel estimators for the semicircle law. In this first part of our general theory on the estimators, we prove the consistency and conduct simulation study to show the performan...
Some new Bellman functions and subordination by orthogonal martingales in $L^{p}, 1
Some new Bellman functions subordination orthogonal martingales
2011/1/18
The main result of this note is Theorem 7 below. The main interest is the array of new Bellman function, very different from Burkholder’s function.
Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
Nonlinear Stochastic Model Return matching Vilnius Stock Exchanges
2010/4/27
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
A New Factorization Property of the Selfdecomposable Probability Measures
Selfdecomposable s-selfdecomposable background driving L´ evy process class U class L factorization property
2010/12/8
We prove that the convolution of a selfdecomposable dis-tribution with its background driving law is again selfdecomposable if and only if the background driving law is s-selfdecomposable.