This paper considers using asymmetric kernels in local linear smoothing to estimate a regression curve with bounded support. The asymmetric kernels are either beta kernels if the curve has a compact support or gamma kernels if the curve is bounded from one end only. While possessing the standard...

The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub-additivity property, which is lacking for the value at risk (VaR). We consider two nonparametric expected shortfall estimators for dependent financial losses. One is a...

This paper proposes a constrained empirical likelihood confidence region for a parameter [beta]0 in the linear errors-in-variables model: Yi=xi[tau][beta]0+[var epsilon]i,Xi=xi+ui,(1[less-than-or-equals, slant]i[less-than-or-equals, slant]n), which is constructed by combining the score function...

Standard goodness-of-fit tests for a parametric regression model against a series of nonparametric alternatives are based on residuals arising from a fitted model. When a parametric regression model is compared with a nonparametric model, goodness-of-fit testing can be naturally approached by...