We extend the idea of crossvalidation to choose the smoothing parameters of the 'double-kernel' local linear regression for estimating a conditional density. Our selection rule optimises the estimated conditional density function by minimising the integrated squared error. We also discuss three...

In this paper, we propose a penalised pseudo-partial likelihood method for variable selection with multivariate failure time data with a growing number of regression coefficients. Under certain regularity conditions, we show the consistency and asymptotic normality of the penalised likelihood...

There are few techniques available for testing whether or not a family of parametric times series models fits a set of data reasonably well without serious restrictions on the forms of alternative models. In this paper, we consider generalised likelihood ratio tests of whether or not the...