The analysis of diffusion process in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

A binary image model is studied with a Lipschitz edge function. The indicator function of the image is observed in random noise at n design points that can be chosen sequentially. The asymptotically minimax rate as n--[infinity] is found in estimating the edge function, and an asymptotically...

Let G be that portion of the unit square which lies below the graph of a smooth function. Assume that observations of the indicator function of G are available at any points X1,...,Xn in the plane. If each consecutive point Xi can be chosen sequentially, on the basis of all the preceding data,...

This paper studies data from the wholesale fruit and vegetables market in Marseille. We have details of counteroffers to the prices that were proposed by the seller even when no transaction took place. With a simple heoretical model we analyse the evolution of prices during the day and in...

In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of...

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...