Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230736 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-025
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
In this paper, we consider a probabilistic setting where the probability measures are considered to be random objects. We propose a procedure of construction non-asymptotic confidence sets for empirical barycenters in 2 -Wasserstein space and develop the idea further to construction of a non-parametric two-sample test that is then applied to the detection of structural breaks in data with complex geometry. Both procedures mainly rely on the idea of multiplier bootstrap (Spokoiny and Zhilova [29], Chernozhukov, Chetverikov and Kato [13]). The main focus lies on probability measures that have commuting covariance matrices and belong to the same scatter-location family: we proof the validity of a bootstrap procedure that allows to compute confidence sets and critical values for a Wasserstein-based two-sample test.
Schlagwörter: 
Wasserstein barycenters
hypothesis testing
multiplier bootstrap
change point detection
confidence sets
JEL: 
C00
Dokumentart: 
Working Paper

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