4 papers
Generalized Spectral Testing with Sample Splitting
Yuxin Tao, Feiyu Jiang, Xiaofeng Shao
Residual-based goodness-of-fit tests for parametric time-series models are often complicated by parameter-estimation effects, which can alter the limiting behavior of diagnostic st…
A Consistent ICM-based Specification Test
Feiyu Jiang, Emmanuel Selorm Tsyawo
In spite of the omnibus property of Integrated Conditional Moment (ICM) specification tests, they are not commonly used in empirical practice owing to features such as the non-pivo…
Diagnostic Checking for Wasserstein Autoregression
Chenxiao Dai, Feiyu Jiang, Dong Li +1
Wasserstein autoregression provides a robust framework for modeling serial dependence among probability distributions, with wide-ranging applications in economics, finance, and cli…
Model-free Change-point Detection using AUC of a Classifier
Rohit Kanrar, Feiyu Jiang, Zhanrui Cai
In contemporary data analysis, it is increasingly common to work with non-stationary complex data sets. These data sets typically extend beyond the classical low-dimensional Euclid…