This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and...

For a Lévy process X having finite variation on compact sets and finite first moments, u (dx) = xv (dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear functionals of u and provide rates of convergence under regularity...

Rating variables indicate the extent to which a quality is present, or absent, in a unit of observation. In this paper, we discuss a class of non-linear regression models for rating dependent variables and their estimation by parametric and semiparametric methods. An application to life...

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under...

We propose weighted repeated median filters and smoothers for robust non-parametric regression in general and for robust signal extraction from time series in particular. The proposed methods allow to remove outlying sequences and to preserve discontinuities (shifts) in the underlying regression...

An attractive nonparametric method to detect change-points sequentially is to apply control charts based on kernel smoothers. Recently, the strong convergence of the associated normed delay associated with such a sequential stopping rule has been studied under sequences of out-of-control models....

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...