19,118 research outputs found

    Constrained-Realization Monte-Carlo Method for Hypothesis Testing

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    We compare two theoretically distinct approaches to generating artificial (or ``surrogate'') data for testing hypotheses about a given data set. The first and more straightforward approach is to fit a single ``best'' model to the original data, and then to generate surrogate data sets that are ``typical realizations'' of that model. The second approach concentrates not on the model but directly on the original data; it attempts to constrain the surrogate data sets so that they exactly agree with the original data for a specified set of sample statistics. Examples of these two approaches are provided for two simple cases: a test for deviations from a gaussian distribution, and a test for serial dependence in a time series. Additionally, we consider tests for nonlinearity in time series based on a Fourier transform (FT) method and on more conventional autoregressive moving-average (ARMA) fits to the data. The comparative performance of hypothesis testing schemes based on these two approaches is found to depend on whether or not the discriminating statistic is pivotal. A statistic is ``pivotal'' if its distribution is the same for all processes consistent with the null hypothesis. The typical-realization method requires that the discriminating statistic satisfy this property. The constrained-realization approach, on the other hand, does not share this requirement, and can provide an accurate and powerful test without having to sacrifice flexibility in the choice of discriminating statistic.Comment: 19 pages, single spaced, all in one postscript file, figs included. Uncompressed .ps file is 425kB (sorry, it's over the 300kB recommendation). Also available on the WWW at http://nis-www.lanl.gov/~jt/Papers/ To appear in Physica

    Testing Universality in Critical Exponents: the Case of Rainfall

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    One of the key clues to consider rainfall as a self-organized critical phenomenon is the existence of power-law distributions for rain-event sizes. We have studied the problem of universality in the exponents of these distributions by means of a suitable statistic whose distribution is inferred by several variations of a permutational test. In contrast to more common approaches, our procedure does not suffer from the difficulties of multiple testing and does not require the precise knowledge of the uncertainties associated to the power-law exponents. When applied to seven sites monitored by the Atmospheric Radiation Measurement Program the test lead to the rejection of the universality hypothesis, despite the fact that the exponents are rather close to each other

    Non-blind watermarking of network flows

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    Linking network flows is an important problem in intrusion detection as well as anonymity. Passive traffic analysis can link flows but requires long periods of observation to reduce errors. Active traffic analysis, also known as flow watermarking, allows for better precision and is more scalable. Previous flow watermarks introduce significant delays to the traffic flow as a side effect of using a blind detection scheme; this enables attacks that detect and remove the watermark, while at the same time slowing down legitimate traffic. We propose the first non-blind approach for flow watermarking, called RAINBOW, that improves watermark invisibility by inserting delays hundreds of times smaller than previous blind watermarks, hence reduces the watermark interference on network flows. We derive and analyze the optimum detectors for RAINBOW as well as the passive traffic analysis under different traffic models by using hypothesis testing. Comparing the detection performance of RAINBOW and the passive approach we observe that both RAINBOW and passive traffic analysis perform similarly good in the case of uncorrelated traffic, however, the RAINBOW detector drastically outperforms the optimum passive detector in the case of correlated network flows. This justifies the use of non-blind watermarks over passive traffic analysis even though both approaches have similar scalability constraints. We confirm our analysis by simulating the detectors and testing them against large traces of real network flows

    Quantum hypothesis testing with group symmetry

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    The asymptotic discrimination problem of two quantum states is studied in the setting where measurements are required to be invariant under some symmetry group of the system. We consider various asymptotic error exponents in connection with the problems of the Chernoff bound, the Hoeffding bound and Stein's lemma, and derive bounds on these quantities in terms of their corresponding statistical distance measures. A special emphasis is put on the comparison of the performances of group-invariant and unrestricted measurements.Comment: 33 page

    A rigorous and efficient asymptotic test for power-law cross-correlation

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    Podobnik and Stanley recently proposed a novel framework, Detrended Cross-Correlation Analysis, for the analysis of power-law cross-correlation between two time-series, a phenomenon which occurs widely in physical, geophysical, financial and numerous additional applications. While highly promising in these important application domains, to date no rigorous or efficient statistical test has been proposed which uses the information provided by DCCA across time-scales for the presence of this power-law cross-correlation. In this paper we fill this gap by proposing a method based on DCCA for testing the hypothesis of power-law cross-correlation; the method synthesizes the information generated by DCCA across time-scales and returns conservative but practically relevant p-values for the null hypothesis of zero correlation, which may be efficiently calculated in software. Thus our proposals generate confidence estimates for a DCCA analysis in a fully probabilistic fashion

    Testing Foundations of Biological Scaling Theory Using Automated Measurements of Vascular Networks

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    Scientists have long sought to understand how vascular networks supply blood and oxygen to cells throughout the body. Recent work focuses on principles that constrain how vessel size changes through branching generations from the aorta to capillaries and uses scaling exponents to quantify these changes. Prominent scaling theories predict that combinations of these exponents explain how metabolic, growth, and other biological rates vary with body size. Nevertheless, direct measurements of individual vessel segments have been limited because existing techniques for measuring vasculature are invasive, time consuming, and technically difficult. We developed software that extracts the length, radius, and connectivity of in vivo vessels from contrast-enhanced 3D Magnetic Resonance Angiography. Using data from 20 human subjects, we calculated scaling exponents by four methods--two derived from local properties of branching junctions and two from whole-network properties. Although these methods are often used interchangeably in the literature, we do not find general agreement between these methods, particularly for vessel lengths. Measurements for length of vessels also diverge from theoretical values, but those for radius show stronger agreement. Our results demonstrate that vascular network models cannot ignore certain complexities of real vascular systems and indicate the need to discover new principles regarding vessel lengths

    First- and Second-Order Hypothesis Testing for Mixed Memoryless Sources with General Mixture

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    The first- and second-order optimum achievable exponents in the simple hypothesis testing problem are investigated. The optimum achievable exponent for type II error probability, under the constraint that the type I error probability is allowed asymptotically up to epsilon, is called the epsilon-optimum exponent. In this paper, we first give the second-order epsilon-exponent in the case where the null hypothesis and the alternative hypothesis are a mixed memoryless source and a stationary memoryless source, respectively. We next generalize this setting to the case where the alternative hypothesis is also a mixed memoryless source. We address the first-order epsilon-optimum exponent in this setting. In addition, an extension of our results to more general setting such as the hypothesis testing with mixed general source and the relationship with the general compound hypothesis testing problem are also discussed.Comment: 23 page

    Testing the order of a model

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    This paper deals with order identification for nested models in the i.i.d. framework. We study the asymptotic efficiency of two generalized likelihood ratio tests of the order. They are based on two estimators which are proved to be strongly consistent. A version of Stein's lemma yields an optimal underestimation error exponent. The lemma also implies that the overestimation error exponent is necessarily trivial. Our tests admit nontrivial underestimation error exponents. The optimal underestimation error exponent is achieved in some situations. The overestimation error can decay exponentially with respect to a positive power of the number of observations. These results are proved under mild assumptions by relating the underestimation (resp. overestimation) error to large (resp. moderate) deviations of the log-likelihood process. In particular, it is not necessary that the classical Cram\'{e}r condition be satisfied; namely, the log\log-densities are not required to admit every exponential moment. Three benchmark examples with specific difficulties (location mixture of normal distributions, abrupt changes and various regressions) are detailed so as to illustrate the generality of our results.Comment: Published at http://dx.doi.org/10.1214/009053606000000344 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org
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