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Holger Dette

Publications and source records attributed to Holger Dette.

At least 145 records · Page 8Linked to original sources
arXiv2017

Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes

In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this paper we discuss statistical inference for the detection and the localisation of gradual changes in the jump characteristic of a discretely observed Ito semimartingale. We propose a new measure of time variation for the jump behaviour of the process. The statistical uncertainty of a corresponding estimate is analyzed by deriving new results on the weak convergence of a sequential empirical tail integral process and a corresponding multiplier bootstrap procedure.

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arXiv2017

Fourier analysis of serial dependence measures

Classical spectral analysis is based on the discrete Fourier transform of the auto-covariances. In this paper we investigate the asymptotic properties of new frequency domain methods where the auto-covariances in the spectral density are replaced by alternative dependence measures which can be estimated by U-statistics. An interesting example is given by Kendall{'}s $τ$ , for which the limiting variance exhibits a surprising behavior.

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arXiv2016

Change point detection in autoregressive models with no moment assumptions

In this paper we consider the problem of detecting a change in the parameters of an autoregressive process, where the moments of the innovation process do not necessarily exist. An empirical likelihood ratio test for the existence of a change point is proposed and its asymptotic properties are studied. In contrast to other work on change point tests using empirical likelihood, we do not assume knowledge of the location of the change point. In particular, we prove that the maximizer of the empirical likelihood is a consistent estimator for the parameters of the autoregressive model in the case of no change point and derive the limiting distribution of the corresponding test statistic under the null hypothesis. We also establish consistency of the new test. A nice feature of the method consists in the fact that the resulting test is asymptotically distribution free and does not require an estimate of the long run variance. The asymptotic properties of the test are investigated by means of a small simulation study, which demonstrates good finite sample properties of the proposed method.

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arXiv2016

Optimal discrimination designs for semi-parametric models

Much of the work in the literature on optimal discrimination designs assumes that the models of interest are fully specified, apart from unknown parameters in some models. Recent work allows errors in the models to be non-normally distributed but still requires the specification of the mean structures. This research is motivated by the interesting work of Otsu (2008) to discriminate among semi-parametric models by generalizing the KL-optimality criterion proposed by López-Fidalgo et al. (2007) and Tommasi and López-Fidalgo (2010). In our work we provide further important insights in this interesting optimality criterion. In particular, we propose a practical strategy for finding optimal discrimination designs among semi-parametric models that can also be verified using an equivalence theorem. In addition, we study properties of such optimal designs and identify important cases where the proposed semi-parametric optimal discrimination designs coincide with the celebrated T -optimal designs.

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arXiv2016

Best linear unbiased estimators in continuous time regression models

In this paper the problem of best linear unbiased estimation is investigated for continuous-time regression models. We prove several general statements concerning the explicit form of the best linear unbiased estimator (BLUE), in particular when the error process is a smooth process with one or several derivatives of the response process available for construction of the estimators. We derive the explicit form of the BLUE for many specific models including the cases of continuous autoregressive errors of order two and integrated error processes (such as integrated Brownian motion). The results are illustrated by several examples.

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arXiv2016

Multiscale inference for multivariate deconvolution

In this paper we provide new methodology for inference of the geometric features of a multivariate density in deconvolution. Our approach is based on multiscale tests to detect significant directional derivatives of the unknown density at arbitrary points in arbitrary directions. The multiscale method is used to identify regions of monotonicity and to construct a general procedure for the detection of modes of the multivariate density. Moreover, as an important application a significance test for the presence of a local maximum at a pre-specified point is proposed. The performance of the new methods is investigated from a theoretical point of view and the finite sample properties are illustrated by means of a small simulation study.

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arXiv2016

Quantile Spectral Analysis for Locally Stationary Time Series

Classical spectral methods are subject to two fundamental limitations: they only can account for covariance-related serial dependencies, and they require second-order stationarity. Much attention has been devoted lately to quantile-based spectral methods that go beyond covariance-based serial dependence features. At the same time, covariance-based methods relaxing stationarity into much weaker {\it local stationarity} conditions have been developed for a variety of time-series models. Here, we are combining those two approaches by proposing quantile-based spectral methods for locally stationary processes. We therefore introduce a time-varying version of the copula spectra that have been recently proposed in the literature, along with a suitable local lag-window estimator. We propose a new definition of local {\it strict} stationarity that allows us to handle completely general non-linear processes without any moment assumptions, thus accommodating our quantile-based concepts and methods. We establish a central limit theorem for the new estimators, and illustrate the power of the proposed methodology by means of a simulation study. Moreover, in two empirical studies (namely of the Standard \& Poor's 500 series and a temperature dataset recorded in Hohenpeissenberg) we demonstrate that the new approach detects important variations in serial dependence structures both across time and across quantiles. Such variations remain completely undetected, and are actually undetectable, via classical covariance-based spectral methods.

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arXiv2016

Detecting long-range dependence in non-stationary time series

An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specific parametric hypotheses of non-stationarity (such as a change in the mean) against long-range dependent stationary alternatives. In this paper we suggest a simple approach, which can be used to test the null-hypothesis of a general non-stationary short-memory against the alternative of a non-stationary long-memory process. The test procedure works in the spectral domain and uses a sequence of approximating tvFARIMA models to estimate the time varying long-range dependence parameter. We prove uniform consistency of this estimate and asymptotic normality of an averaged version. These results yield a simple test (based on the quantiles of the standard normal distribution), and it is demonstrated in a simulation study that - despite of its semi-parametric nature - the new test outperforms the currently available methods, which are constructed to discriminate between specific parametric hypotheses of non-stationarity short- and stationarity long-range dependence.

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arXiv2016

Hankel determinants of random moment sequences

For $ t \in [0,1]$ let $\underline{H}_{2\lfloor nt \rfloor} = ( m_{i+j})_{i,j=0}^{\lfloor nt \rfloor} $ denote the Hankel matrix of order $2\lfloor nt \rfloor$ of a random vector $(m_1,\ldots ,m_{2n})$ on the moment space $\mathcal{M}_{2n}(I)$ of all moments (up to the order $2n$) of probability measures on the interval $I \subset \mathbb{R} $. In this paper we study the asymptotic properties of the stochastic process $\{ \log \det \underline{H}_{2\lfloor nt \rfloor} \}_{t\in [0,1]}$ as $n \to \infty$. In particular weak convergence and corresponding large deviation principles are derived after appropriate standardization.

math.PR↗
arXiv2016

Equivalence of dose response curves

This paper investigates the problem whether the difference between two parametric models $m_1,m_2$ describing the relation between a response variable and several covariates in two different groups is practically irrelevant, such that inference can be performed on the basis of the pooled sample. Statistical methodology is developed to test the hypotheses $H_0 : d(m_1,m_2)\geq ε$ versus $H_1 : d(m_1,m_2) < ε$ to demonstrate equivalence between the two regression curves $m_1,m_2$ for a pre-specified threshold $ε$, where $d$ denotes a distance measuring the distance between $m_1$ and $m_2$. Our approach is based on the asymptotic properties of a suitable estimator $d(\hat{m}_1; \hat{m}_2)$ of this distance. In order to improve the approximation of the nominal level for small sample sizes a bootstrap test is developed, which addresses the specific form of the interval hypotheses. In particular, data has to be generated under the null hypothesis, which implicitly defines a manifold for the parameter vector. The results are illustrated by means of a simulation study and a data example. It is demonstrated that the new methods substantially improve currently available approaches with respect to power and approximation of the nominal level.

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arXiv2016

Bayesian $D$-optimal designs for error-in-variables models

Bayesian optimality criteria provide a robust design strategy to parameter misspecification. We develop an approximate design theory for Bayesian $D$-optimality for non-linear regression models with covariates subject to measurement errors. Both maximum likelihood and least squares estimation are studied and explicit characterisations of the Bayesian $D$-optimal saturated designs for the Michaelis-Menten, Emax and exponential regression models are provided. Several data examples are considered for the case of no preference for specific parameter values, where Bayesian $D$-optimal saturated designs are calculated using the uniform prior and compared to several other designs, including the corresponding locally $D$-optimal designs, which are often used in practice.

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arXiv2016

Multiscale inference for a multivariate density with applications to X-ray astronomy

In this paper we propose methods for inference of the geometric features of a multivariate density. Our approach uses multiscale tests for the monotonicity of the density at arbitrary points in arbitrary directions. In particular, a significance test for a mode at a specific point is constructed. Moreover, we develop multiscale methods for identifying regions of monotonicity and a general procedure for detecting the modes of a multivariate density. It is is shown that the latter method localizes the modes with an effectively optimal rate. The theoretical results are illustrated by means of a simulation study and a data example. The new method is applied to and motivated by the determination and verification of the position of high-energy sources from X-ray observations by the Swift satellite which is important for a multiwavelength analysis of objects such as Active Galactic Nuclei.

math.ST↗
arXiv2016

Quantile spectral processes: Asymptotic analysis and inference

Quantile- and copula-related spectral concepts recently have been considered by various authors. Those spectra, in their most general form, provide a full characterization of the copulas associated with the pairs $(X_t,X_{t-k})$ in a process $(X_t)_{t\in\mathbb{Z}}$, and account for important dynamic features, such as changes in the conditional shape (skewness, kurtosis), time-irreversibility, or dependence in the extremes that their traditional counterparts cannot capture. Despite various proposals for estimation strategies, only quite incomplete asymptotic distributional results are available so far for the proposed estimators, which constitutes an important obstacle for their practical application. In this paper, we provide a detailed asymptotic analysis of a class of smoothed rank-based cross-periodograms associated with the copula spectral density kernels introduced in Dette et al. [Bernoulli 21 (2015) 781-831]. We show that, for a very general class of (possibly nonlinear) processes, properly scaled and centered smoothed versions of those cross-periodograms, indexed by couples of quantile levels, converge weakly, as stochastic processes, to Gaussian processes. A first application of those results is the construction of asymptotic confidence intervals for copula spectral density kernels. The same convergence results also provide asymptotic distributions (under serially dependent observations) for a new class of rank-based spectral methods involving the Fourier transforms of rank-based serial statistics such as the Spearman, Blomqvist or Gini autocovariance coefficients.

math.ST↗
arXiv2016

Optimal designs for dose response curves with common parameters

A common problem in Phase II clinical trials is the comparison of dose response curves corresponding to different treatment groups. If the effect of the dose level is described by parametric regression models and the treatments differ in the administration frequency (but not in the sort of drug) a reasonable assumption is that the regression models for the different treatments share common parameters. This paper develops optimal design theory for the comparison of different regression models with common parameters. We derive upper bounds on the number of support points of admissible designs, and explicit expressions for $D$-optimal designs are derived for frequently used dose response models with a common location parameter. If the location and scale parameter in the different models coincide, minimally supported designs are determined and sufficient conditions for their optimality in the class of all designs derived. The results are illustrated in a dose-finding study comparing monthly and weekly administration.

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arXiv2016

Optimal designs for regression models with autoregressive errors structure

In the one-parameter regression model with AR(1) and AR(2) errors we find explicit expressions and a continuous approximation of the optimal discrete design for the signed least square estimator. The results are used to derive the optimal variance of the best linear estimator in the continuous time model and to construct efficient estimators and corresponding optimal designs for finite samples. The resulting procedure (estimator and design) provides nearly the same efficiency as the weighted least squares and its variance is close to the optimal variance in the continuous time model. The results are illustrated by several examples demonstrating the feasibility of our approach.

math.ST↗
arXiv2016

Optimal designs for comparing regression models with correlated observations

We consider the problem of efficient statistical inference for comparing two regression curves estimated from two samples of dependent measurements. Based on a representation of the best pair of linear unbiased estimators in continuous time models as a stochastic integral, an efficient pair of linear unbiased estimators with corresponding optimal designs for finite sample size is constructed. This pair minimises the width of the confidence band for the difference between the estimated curves. We thus extend results readily available in the literature to the case of correlated observations and provide an easily implementable and efficient solution. The advantages of using such pairs of estimators with corresponding optimal designs for the comparison of regression models are illustrated via numerical examples.

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arXiv2016

Optimal designs for active controlled dose finding trials with efficacy-toxicity outcomes

Nonlinear regression models addressing both efficacy and toxicity outcomes are increasingly used in dose-finding trials, such as in pharmaceutical drug development. However, research on related experimental design problems for corresponding active controlled trials is still scarce. In this paper we derive optimal designs to estimate efficacy and toxicity in an active controlled clinical dose finding trial when the bivariate continuous outcomes are modeled either by polynomials up to degree 2, the Michaelis- Menten model, the Emax model, or a combination thereof. We determine upper bounds on the number of different doses levels required for the optimal design and provide conditions under which the boundary points of the design space are included in the optimal design. We also provide an analytical description of the minimally supported $D$-optimal designs and show that they do not depend on the correlation between the bivariate outcomes. We illustrate the proposed methods with numerical examples and demonstrate the advantages of the $D$-optimal design for a trial, which has recently been considered in the literature.

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