This paper considers the problem of estimating of the coefficient matrix B(p - m) in a normal multivariate regression model under the risk matrix , where Q is a known p.d. matrix, and proposes Gleser type estimators which improve on the usual estimator X.

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and error term can be contemporaneously correlated. The asymptotic properties of the Nadaraya–Watson estimator are already examined in the literature. In this paper, we consider nonparametric least...