We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter estimates can be represented as martingale...

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be...

The secondary structure classification of amino acid sequences can be carried out by a statistical analysis of sequence and structure data using state-space models. Aiming at this classification, a modified filter algorithm programmed in S is applied to data of three proteins. The application...

The paper considers the problem of non-parametric regression with emphasis on controlling the number of local extrema. Two methods, the run method and the taut string-wavelet method, are introduced and analysed on standard test beds. It is shown that the number and location of local extreme...

In investigations on the behaviour of robust estimators, typically their consistency and their asymptotic normality are studied as a necessity. Their rates of convergence, however, are often given less weight. We show here that the rate of convergence of a multivariate robust estimator to its...