In a recent article, Noh, El Ghouch, and Bouezmarni proposed a new semiparametric estimate of a regression function with a multivariate predictor, which is based on a specification of the dependence structure between the predictor and the response by means of a parametric copula. This comment...

In this paper we present an alternative method for the spectral analysis of a strictly stationary time series {Yt}t2Z. We define a “new” spectrum as the Fourier transform of the differences between copulas of the pairs (Yt, Yt−k) and the independence copula. This object is called copula...

Since the introduction by Koenker and Bassett, quantile regression has become increasingly important in many applications. However, many non-parametric conditional quantile estimates yield crossing quantile curves (calculated for various "p"  is an element of  (0, 1)). We propose a new...

Classical spectral analysis is based on the discrete Fourier transform of the autocovariances. In this article we investigate the asymptotic properties of new frequency‐domain methods where the autocovariances in the spectral density are replaced by alternative dependence measures that can be...