We consider a partially linear regression model with multivariate covariates and with responses that are allowed to be missing at random. This covers the usual settings with fully observed data and the nonparametric regression model as special cases. We first develop a test for additivity of the...

Suppose we observe a time series that alternates between different nonlinear autoregressive processes. We give conditions under which the model is locally asymptotically normal, derive a characterization of efficient estimators for differentiable functionals of the model, and use it to construct...

In this paper, we characterize and construct efficient estimators of linear functionals of a bivariate distribution with equal marginals. An efficient estimator equals the empirical estimator minus a correction term and provides significant improvements over the empirical estimator. We construct...