Motivated by applications in statistical quality control and signal analysis, we propose a sequential detection procedure which is designed to detect structural changes, in particular jumps, immediately. This is achieved by modifying a median filter by appropriate kernel-based jump preserving...

Motivated by applications in statistical quality control and signal analysis, we propose a sequential detection procedure which is designed to detect structural changes, in particular jumps, immediately. This is achieved by modifying a median filter by appropriate kernel-based jump preserving...

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...

We consider an extension of conventional univariate Kaplan-Meier type estimators for the hazard rate and the survivor function to multivariate censored data with a censored random regressor. It is an Akritas (1994) type estimator which adapts the nonparametric conditional hazard rate estimator...