8 research outputs found
Conformal Geometry of Sequential Test in Multidimensional Curved Exponential Family
This article presents a differential geometrical method for analyzing
sequential test procedures. It is based on the primal result on the conformal
geometry of statistical manifold developed in Kumon, Takemura and Takeuchi
(2011). By introducing curvature-type random variables, the condition is first
clarified for a statistical manifold to be an exponential family under an
appropriate sequential test procedure. This result is further elaborated for
investigating the efficient sequential test in a multidimensional curved
exponential family. The theoretical results are numerically examined by using
von Mises-Fisher and hyperboloid models
New procedures for testing whether stock price processes are martingales
We propose procedures for testing whether stock price processes are
martingales based on limit order type betting strategies. We first show that
the null hypothesis of martingale property of a stock price process can be
tested based on the capital process of a betting strategy. In particular with
high frequency Markov type strategies we find that martingale null hypotheses
are rejected for many stock price processes
Conditions for swappability of records in a microdata set when some marginals are fixed
Decomposable model, Disclosure control, Graphical model, Hierarchical model, Markov basis,
Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE
Some characterizations of minimal Markov basis for sampling from discrete conditional distributions
Contingency tables, exact tests, Markov chain Monte Carlo,