This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator for any of its partial sums by computing the...

We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly computed. Motivated by Indirect Inference, we use a...

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...

This paper deals with the conditional hazard estimator of a real response where the variable is given a functional random variable (i.e it takes values in an infinite-dimensional space). Specifically, we focus on the functional index model. This approach offers a good com- promise between...

The paper continues the authors’ work (Freise et al. The adaptive Wynn-algorithm in generalized linear models with univariate response. arXiv:1907.02708, 2019) on the adaptive Wynn algorithm in a nonlinear regression model. In the present paper the asymptotics of adaptive least squares...

We introduce and discuss a multivariate version of the classical median that is based on an equipartition property with respect to quarter spaces. These arise as pairwise intersections of the half-spaces associated with the coordinate hyperplanes of an orthogonal basis. We obtain results on...