Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...

We consider possible measures of dependence for two symmetric alpha-stable (SαS) random variables. Some results are given which enlighten a few deficiencies of these measures. We propose a new measure which partially solve these problems. The results are illustrated by simulations

The ordinary spectrum is restricted in its applications, since it is based on the second-order moments (auto- and cross-covariances). Alternative approaches to spectrum analysis have been investigated based on other measures of dependence. One such approach was developed for univariate time...

This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the...