The main objective for this paper is twofold. We first present a method for the derivation of an arbitrarily exact approximation to the distribution of Cramér-von Mises type functionals of any given Gaussian process X = {X(t): 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1}....

For a sequence of partial sums ofd-dimensional independent identically distributed random vectors a corresponding multivariate renewal process is defined componentwise. Via strong invariance together with an extreme value limit theorem for Rayleigh processes, a number of weak asymptotic results...

Aragon, Daouia, and Thomas-Agnan (2005, <italic>Econometric Theory</italic> 21, 358–389) introduced a new nonparametric frontier estimation. We prove the weak convergence of the empirical conditional quantile function. The distribution of the limit depends on the unknown conditional quantile density function....

We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to...

type="main" xml:id="jtsa12095-abs-0001"There are numerous examples of functional data in areas ranging from earth science to finance where the problem of interest is to compare several functional populations. In many instances, the observations are obtained consecutively in time, and thus, the...

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...

Variance targeting estimation (VTE) is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood estimation (QMLE) of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...

Economic and financial data often take the form of a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that...

In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test...

Motivated by problems in functional data analysis, in this paper we prove the weak convergence of normalized partial sums of dependent random functions exhibiting a Bernoulli shift structure.