For both deterministic or stochastic regressors, as well as parametric nonlinear or linear regression functions, we prove the weak consistency of the coefficient estimators for the Type I censored quantile regression model under different censoring mechanisms with censoring points depending on...

Die Prognose von makroökonomischen Zeitreihen steht häufig vor dem Problem, dass die verwendeten Indikatoren und die Zielzeitreihe in verschiedenen Frequenzen vorliegen. So ist das Bruttoinlandsprodukt nur auf Quartalsbasis verfügbar, während die meisten Indikatoren, wie z.B. das ifo...

This paper undertakes a time series analysis of the Japanese divorce rate using annual data over the period 1964–2006. One of the key innovations of the paper is to use court decisions on divorce disputes to construct an index that seeks to measure how the probability of success in a divorce...

Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure and prove a sharp oracle inequality for its risk. We also provide...

In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models using Japanese yield curve panel data over the important period 2000 to 2010. The state space form of the model is presented and the Kalman filter applied. The empirical results provide support for...