We consider the problem of testing hypotheses regarding the covariance matrix of multivariate normal data, if the sample size s and dimension n satisfy . Recently, several tests have been proposed in the case, where the sample size and dimension are of the same order, that is y[set membership,...

A new nonparametric estimate of a convex regression function is proposed and its stochastic properties are studied. The method starts with an unconstrained estimate of the derivative of the regression function, which is firstly isotonized and then integrated. We prove asymptotic normality of the...

n.a.

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...

A new nonparametric estimate of a convex regression function is proposed and its stochastic properties are studied. The method starts with an unconstrained estimate of the derivative of the regression function, which is firstly isotonized and then integrated. We prove asymptotic normality of the...

We consider the problem of testing hypotheses regarding the covariance matrix of multivariate normal data, if the sample size s and dimension n satisfy lim [n,s→∞] n/s = y. Recently, several tests have been proposed in the case, where the sample size and dimension are of the same order, that...

We propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and Litzenberger (1978) without necessarily estimating...

A central limit theorem for the weighted integrated squared error of kernel-type estimators of the first two derivatives of a nonparametric regression function is proved by using results for martingale differences and U-statistics. The results focus on the setting of the Nadaraya-Watson...

We consider inverse regression models with convolution-type operators which mediate convolution on (d=1) and prove a pointwise central limit theorem for spectral regularisation estimators which can be applied to construct pointwise confidence regions. Here, we cope with the unknown bias of such...