In this paper, a new procedure for testing the number of linear components in a general regression problem is introduced. It is based on a nonparametric estimate of the covariance matrix of the inverse regression curve. A review of previous dimension tests is also presented.

In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of GARCH-type and stochastic volatility models. We consider the possibility that...

Analyses are presented of 84 quarterly observations 1/85-4/05 on two U.S. index numbers of nominal prices often employed to measure inflation. Analyses are designed to answer two key questions of interest to macroeconomists. Is inflation stationary (I(0)) or stochastically non-stationary (I(1))?...

Given a data set in the multivariate Euclidean space, we study regions of central points built by averaging all their subsets with a fixed number of elements. The averaging of these sets is performed by appropriately scaling the Minkowski or elementwise summation of their convex hulls. The...

According to the Taylor-Effect the autocorrelations of absolute financial returns are higher than the ones of squared returns. In this work, we analyze this empirical property for three different asymmetric stochastic volatility models, with short and/or long memory. Specially, we investigate...

In this paper, we propose a new stochastic volatility model, called A-LMSV, to cope simultaneously with the leverage effect and long-memory. We derive its statistical properties and compare them with the properties of the FIEGARCH model. We show that the dependence of the autocorrelations of...

In this note we analyze the relationship between one-step ahead prediction errors and interpolation errors in time series. We obtain an expression of the prediction errors in terms of the interpolation errors and then we show that minimizing the sum of squares of the one step-ahead standardized...

We present a data oriented analysis of the effect of different kind of economic shocks on Chilean output growth and inflation over the last 40 years. Two important results are: (1) foreign shocks only explain 17% of the variability of the output growth in the period 1984-2006 whereas it used to...

Strong consistency of linear discriminant analysis is established under wide assumptions on the class conditional densities. Robustness to the presence of a mild degree of class dispersion heterogeneity is also analyzed. Results obtained may help to explain analytically the frequent good...

This paper addresses the multi-armed bandit problem with switching penalties including both costs and delays, extending results of the companion paper [J. Niño-Mora. "Two-Stage Index Computation for Bandits with Switching Penalties I: Switching Costs". Conditionally accepted at INFORMS J....