Nonparametric tests for Cox processes

DOI10.1016/J.JSPI.2016.12.001zbMATH Open1356.62009arXiv1603.06786OpenAlexW2963992377MaRDI QIDQ511672FDOQ511672

Lionel Truquet, Gaspar Massiot, Benoît Cadre

Publication date: 22 February 2017

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

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.

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

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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)

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Cited In (3)

• Nonparametric tests for stratum effects in the Cox model
• Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
• Title not available (Why is that?)

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