Nonparametric tests for Cox processes

DOI10.1016/J.JSPI.2016.12.001MaRDI QIDQ511672zbMATH OpenOpenAlexFDO

Authors Benoît Cadre, Gaspar Massiot, Lionel Truquet

Publication date 22 February 2017

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.06786

zbMATH Keywords

nonparametric statisticstest statisticCox processlocal alternativefunctional statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Empirical decision procedures; empirical Bayes procedures (62C12) Non-Markovian processes: hypothesis testing (62M07) Martingales with continuous parameter (60G44)

Abstract: In a functional setting, we propose two test statistics to highlight the Poisson nature of a Cox process when n copies of the process are available. Our approach involves a comparison of the empirical mean and the empirical variance of the functional data and can be seen as an extended version of a classical overdispersion test for counting data. The limiting distributions of our statistics are derived using a functional central limit theorem for c`adl`ag martingales. We also study the asymptotic power of our tests under some local alternatives. Our procedure is easily implementable and does not require any knowledge of covariates. A numerical study reveals the good performances of the method. We also present two applications of our tests to real data sets.

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Cited in

(3)

• scientific article; zbMATH DE number 3988505 (Why is no real title available?)
• Nonparametric tests for stratum effects in the Cox model
• Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data

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