We discuss some methods to test for possible changes in the parameters of a long-memory sequence. We obtain the limit distributions of the test statistics under the no-change null hypothesis. The consistency of the tests is also investigated.

We study the regularity of a two-parameter Lévy process in the neighbourhood of a fixed point and then we compute the Hölder exponent of such a process.

G. R. Ducharme and Y. Lepage (1986, J. Roy. Statist. Soc. Ser. B48, 197-205) presented the strong collapsibility of odds ratio in 22K tables. However, the concept is not suitable for an ordinal background variable since it is meaningless to pool nonadjacent levels in this case. In this paper, we...

In the literature, there are basically two kinds of resampling methods for least squares estimation in linear models; the E-type (the efficient ones like the classical bootstrap), which is more efficient when error variables are homogeneous, and the R-type (the robust ones like the jackknife),...

In this paper, we consider a family of feasible generalised double k-class estimators in a linear regression model with non-spherical disturbances. We derive the large sample asymptotic distribution of the proposed family of estimators and compare its performance with the feasible generalized...

Conditionally specified statistical models are frequently constructed from one-parameter exponential family conditional distributions. One way to formulate such a model is to specify the dependence structure among random variables through the use of a Markov random field (MRF). A common...

Similarly to the determination of a prior in Bayesian Decision theory, an arbitrarily precise determination of the loss function is unrealistic. Thus, analogously to global robustness with respect to the prior, one can consider a set of loss functions to describe the imprecise preferences of the...

Inference for the mean difference in the two-sample random censorship model is an important problem in comparative survival and reliability test studies. This paper develops an adjusted empirical likelihood inference and a martingale-based bootstrap inference for the mean difference. A...

A formulation of the second-order Hadamard differentiability of (extended) statistical functionals and some related theoretical results are established. These results are applied to derive the limiting distributions of a class of generalized Cramér-von Mises type test statistics, which include...

If (Xi, i[set membership, variant]) is a strictly stationary process with marginal density function f, we are interested in testing the hypothesis H0: {f=f0}, where f0 is given. We consider different test statistics based on integrated quadratic forms measuring the proximity between fn, a...