Two techniques for nonparametric inference concerning statistical functionals are examined as quasi-likelihood methods.

This paper proposes to use a semi parametric regression method, named Sliced Inverse Regression (SIR hereafter), to analyse ambulatory blood pressure monitoring data.

In this paper we review different approaches that we can use to identify real data. We recall classical methods used from a nonparametric point of view for stochastic data. Then we use the same methods in a deterministic context. We precise what kind of hypotheses we need to estimate and...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

This paper investigates the behavior of long zero-coupon rates and its consequences for usual arbitrage models of the term structure.

This paper deals with the design of Monte Carlo experiments in the context of cointegrated VAR models.