ter verkrijging van de graad van doctor

In this paper we propose a procedure based on the subsampling techniques for the comparison of stationary time series that are not necessarily independent. We study a test based on the Euclidean distance between the autocorrelation functions of two series. Consistency of the proposed method is established. We present a Monte Carlo study with the size and the power of the proposed test.

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Estimating alternative technology sets in nonparametric efficiency analysis: Restriction tests for panel and clustered data DIW Discussion Papers, No. 1283

A construction of p-values for hypothesis tests based on subsampling and the related m out of n bootstrap is introduced. The p-values are based on a modification of the usual subsampling hypothesis tests that involves an appropriate centering of the subsampled or bootstrapped test statistics as in the construction of confidence intervals. This modification makes the hypothesis tests more powerful, and as a consequence provides meaningful p-values. The procedure is shown to apply for both i.i.d. and stationary data satisfying mixing conditions. The new p-values have the desired properties of being asymptotically uniform under the null hypothesis and converging to zero under the alternative. 1

Abstract. The dynamic range is an important parameter which measures the spread of sound power, and for music signals it is a measure of recording quality. There are various descriptive measures of sound power, none of which has strong statistical foundations. We start from a nonparametric model for sound waves where an additive stochastic term has the role to catch transient energy. This component is recovered by a simple rate-optimal kernel estimator that requires a single data-driven tuning. The distribution of its variance is approximated by a consistent random subsampling method that is able to cope with the massive size of the typical dataset. Based on the latter, we propose a statistic, and an estimation method that is able to represent the dynamic range concept consistently. The behavior of the statistic is assessed based on a large numerical experiment where we simulate dynamic compression on a selection of real music signals. Application of the method to real data also shows how the proposed method can predict subjective experts ’ opinions about the hifi quality of a recording.

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