In this paper we obtain bounds under weaker nonparametric assumptions and explore how the bounds with assumptions imposed.

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...

A robust principal component analysis can be easily performed by computing the eigenvalues and eigenvectors of a robust estimator of the covariance or correlation matrix. In this paper the authors derive the influence functions and the corresponding asumptotic variances for these robust...

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...

Five decades ago, Bhattacharyya established a series of lower bounds for the variance of an unbiased estimator, since then called the Bhattacharyya bounds. In 1974 Blight and Rao have shown that the series of Bhattacharyya bounds converges to the variance of the best unbiased estimator. In this...

We show how to smoothly 'monotonise" standard kernel estimators of hazard rate using bootstrap weights. Our method takes a variety of forms, depending on the choice of kernel estimator and on the distance function used to defie a certain constrained optimisation problem.

This paper further examines the bootstrap method proposed by Simar and Wilson (1998) for DEA efficiency estimators. Some simplifications are provided, and we provide Monte Carlo evidence on the coverage probabilities of confidence intervals estimated by the method.

A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the periodigrams across frequency. An important component of smoothing is the choice of the span. In this paper, we propose a span selector originally developed for use in fitting...

This paper further examines the bootstrap method proposed by Simar and Wilson (1998) for DEA efficiency estimators. Some simplifications are provided, and we provide Monte Carlo evidence on the coverage probabilities of confidence intervals estimated by the method.

In the setting of nonparametric hazard estimation under right random censorship by the kernel method, asynmptotic lower bounds for bandwidth selection are provided. If the error criterion is the integrated Squared Error (ISE), and if the distribution function of the underlying lifetime is...