A new test for strict monotonicity of the regression function is proposed which is based on a composition of an estimate of the inverse of the regression function with a common regression estimate. This composition is equal to the identity if and only if the ?true? regression function is...

Abstract In this paper we consider the empirical process of the errors appearing in a generalized autoregressive conditional heteroskedastic with stochastic mean (GARCH-SM) model. Various functional tests of conditional symmetry can be built on the basis of the limiting distribution of this...

In this paper we focus on robust linear optimization problems with uncertainty regions defined by [phi]-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on [phi]-divergences arise in a natural way as confidence sets if the uncertain...