We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the … interpretation of each lagged value's influence on such a function. In this paper we consider the joint estimation of both the …

the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …

-in estimation. We apply the empirical likelihood based test to a discretised diffusion model which has been recently considered in …

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …