The null hypothesis that the error vectors in a multivariate linear model are independent is tested against the alternative hypothesis that they are dependent in some specified manner. This dependence is assumed to be due to common random components or autocorrelation over time. The testing...

S. Orey and S. J. Taylor (1974, Proc. London Math. Soc.28, 174-192) proved that for 0[less-than-or-equals, slant][lambda][less-than-or-equals, slant]1 the set E([lambda])={t[set membership, variant][0, 1] : lim suph[downwards...

It is well known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Here we treat this problem in the framework of a...

In order to construct confidence sets for a marginal density f of a strictly stationary continuous time process observed over the time interval [0, T], it is necessary to have at one's disposal a Central Limit Theorem for the kernel density estimator fT. In this paper we address the question...

In a nonparametric regression model with a multivariate explanatory variable we consider the problem of testing the hypothesis that specific interactions in a canonical decomposition of the model vanish. A simple consistent test is developed which is based on the difference between the...

Tail index estimation depends for its accuracy on a precise choice of the sample fraction, i.e., the number of extreme order statistics on which the estimation is based. A complete solution to the sample fraction selection is given by means of a two-step subsample bootstrap method. This method...

In this paper we study Arnold's (1987, Statist. Probab. Lett.5, 263-266) class of bivariate distributions with Pareto conditionals from a reliability point of view. Failure rates and mean residual life function of the marginal distributions and their monotonic properties are studied. The hazard...

Problems of specification of discrete bivariate statistical models by a modified power series conditional distribution and a regression function are studied. An identifiability result for a wide class of such mixtures with infinite support is obtained. Also the finite support case within a more...

Consider a system that consists of several components. Shocks arrive according to a counting process (which may be non-homogeneous and with correlated interarrival times) and each shock may simultaneously destroy a subset of the components. Shock models of this type arise naturally in...

Lattice conditional independence (LCI) models introduced by S. A. Andersson and M. D. Perlman (1993, Ann. Statist.21, 1318-1358) have the pleasant feature of admitting explicit maximum likelihood estimators and likelihood ratio test statistics. This is because the likelihood function and...