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Robert B. Davies
Researcher at Wellington Management Company
Publications - 29
Citations - 3953
Robert B. Davies is an academic researcher from Wellington Management Company. The author has contributed to research in topics: Crash & Residual. The author has an hindex of 14, co-authored 29 publications receiving 3785 citations. Previous affiliations of Robert B. Davies include University of California, Berkeley.
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Hypothesis testing when a nuisance parameter is present only under the alternative
TL;DR: In this article, the authors used a test derived from the corresponding family of test statistics appropriate for the case when 0 is given and applied to the two-phase regression problem in the normal case.
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Tests for Hurst effect
Robert B. Davies,David Harte +1 more
TL;DR: In this article, the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process was investigated, based on the beta-optimal principle, local optimality and rescaled range test.
Journal ArticleDOI
Hypothesis Testing when a Nuisance Parameter is Present Only Under the Alternatives
Journal ArticleDOI
Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case
TL;DR: The results of Davies (1977, 1987) are extended to a linear model situation with unknown residual variance as discussed by the authors, where the residual variance is defined as the sum of the variance of all the parameters of the model.
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Numerical inversion of a characteristic function
TL;DR: In this paper, a method is described for finding a bound on the error when a version of the usual characteristic function inversion formula is evaluated by numerical integration, which is applied to the calculation of the distribution function of a quadratic form in normal random variables.