This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and...

We consider the problem of uniform asymptotics in kernel functional estimation where the bandwidth can depend on the data. In a unified approach we investigate kernel estimates of the density and the hazard rate for uncensored and right-censored observations. The model allows for the fixed...

As item response theory (IRT) has developed and is widely applied, investigating the fit of a parametric model becomes an important part of the measurement process when implementing IRT. The usefulness and successes of IRT applications rely heavily on the extent to which the model reflects the...

In biomedical research and lifetime data analysis, the comparison of two hazard functions usually plays an important role in practice. In this thesis, we consider the standard independent two-sample framework under right censoring. We construct efficient and useful confidence intervals for the...

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

This paper is concerned with the nonparametric estimation of regression quantiles where the response variable is randomly censored. Using results on the strong uniform convergence of U-processes, we derive a global Bahadur representation for the weighted local polynomial estimators, which is...