At least since [1], a broad class of multiple comparison procedures, so-called simultaneous test procedures (STPs), is established in the statistical literature. Elements of an STP are a testing family, consisting of a set of null hypotheses and corresponding test statistics, and a common...

We consider a special class of multiple testing problems, consisting of M simultaneous point hypothesis tests in local statistical experiments. Under certain structural assumptions the global hypothesis contains exactly one element v* (say), and v* is least favourable parameter configuration...

We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert - one informed of...

Marketers often use A/B testing as a tool to compare marketing treatments in a test stage and then deploy the better-performing treatment to the remainder of the consumer population. While these tests have traditionally been analyzed using hypothesis testing, we re-frame them as an explicit...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken ‘directly' from the observed data. The procedure is useful when one wants to summarize the test results for several...

Abstract A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of Optimal Predictive Ability generalizes the Superior Predictive Ability hypothesis from a single given loss function to an entire class of loss functions. Distinction is drawn...

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

This paper introduces the model confidence set (MCS) and applies it to the selection of models. An MCS is a set of models that is constructed so that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...