Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2301.12480 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866909324233670656 |
|---|---|
| author | Fan, Yixuan Jiao, Zhanyi Wang, Ruodu |
| author_facet | Fan, Yixuan Jiao, Zhanyi Wang, Ruodu |
| contents | We address the problem of testing conditional mean and conditional variance for non-stationary data. We build e-values and p-values for four types of non-parametric composite hypotheses with specified mean and variance as well as other conditions on the shape of the data-generating distribution. These shape conditions include symmetry, unimodality, and their combination. Using the obtained e-values and p-values, we construct tests via e-processes, also known as testing by betting, as well as some tests based on combining p-values for comparison. Although we mainly focus on one-sided tests, the two-sided test for the mean is also studied. Simulation and empirical studies are conducted under a few settings, and they illustrate features of the methods based on e-processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2301_12480 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Testing mean and variance by e-processes Fan, Yixuan Jiao, Zhanyi Wang, Ruodu Statistics Theory Probability We address the problem of testing conditional mean and conditional variance for non-stationary data. We build e-values and p-values for four types of non-parametric composite hypotheses with specified mean and variance as well as other conditions on the shape of the data-generating distribution. These shape conditions include symmetry, unimodality, and their combination. Using the obtained e-values and p-values, we construct tests via e-processes, also known as testing by betting, as well as some tests based on combining p-values for comparison. Although we mainly focus on one-sided tests, the two-sided test for the mean is also studied. Simulation and empirical studies are conducted under a few settings, and they illustrate features of the methods based on e-processes. |
| title | Testing mean and variance by e-processes |
| topic | Statistics Theory Probability |
| url | https://arxiv.org/abs/2301.12480 |