In this paper, we develop a fully nonparametric approach for the estimation of the cumulative incidence function with Missing At Random right-censored competing risks data. We obtain results on the pointwise asymptotic normality as well as the uniform convergence rate of the proposed...

This article gives the asymptotic properties for nonparametric kernel based density and regression estimators when one of the variables, respectively regressors, had to be pre-estimated. Those variables are known as constructed variables or generatedregressors, and their impact on the -nal...

We propose a non-parametric procedure for estimating the realized spot volatility of a price process described by an Itô semimartingale with Lévy jumps. The procedure integrates threshold jump elimination technique of Mancini (2009) with a frame (Gabor) expansion of the realized trajectory of...