In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a...

Over the last four decades, several methods for selecting the smoothing parameter, generally called the bandwidth, have been introduced in kernel regression. They differ quite a bit, and although there already exist more selection methods than for any other regression smoother we can still see...

Structural breaks in relationships between macroeconomic and financial time series are likely a result of financial crises or local reforms. If such structural breaks exist, cointegration tests have to take them into account. Arai and Kurozumi (2007), Carrion-i-Silvestre and Sanso (2006) and...

Quadratic loss is predominantly used in the literature as the performance measure for nonparametric density estimation, while nonparametric mixture models have been studied and estimated almost exclusively via the maximum likelihood approach. In this paper, we relate both for estimating a...