This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property (Kano, 1994) and within this general frame work presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the online...

This paper considers the class of p-dimensional elliptic distributions (p≥1) satisfying the consistency property (Kano, 1994)  [23] and within this general framework presents a two-stage nonparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the on-line...

This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the online...

Suppose we observe a Markov chain taking values in a functional space. We are interested in exploiting the time series dependence in these infinite dimensional data in order to make non-trivial predictions about the future. Making use of the Karhunen–Loève (KL) representation of functional...

Estimation of heteroskedasticity and autocorrelation consistent covariance matrices (HACs) is a well established problem in time series. Results have been established under a variety of weak conditions on temporal dependence and heterogeneity that allow one to conduct inference on a variety of...

For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x,w) = h[g(x),w], g is linearly homogeneous and h is monotonic in g. This...

A positive Lyapunov exponent is one practical definition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. For international real output series, the hypothesis of the positive Lyapunov...

We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989, Semiparametric Econometric Models: I. Estimation, Discussion paper 908, Cowles Foundation). We derive an order <italic>n</italic>⁻¹ stochastic...