We provide easy to verify sufficient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions and simultaneously depends on some nonparametric estimators that can...

In this article, we introduce a procedure to test the equality of regression functions when the response variables are censored. The test is based on a comparison of Kaplan-Meier estimators of the distribution of the censored residuals. Kolmogorov-Smirnov- and Cramér-von Mises-type statistics...

Suppose that "X"_<b>1</b>,…, "X"_<b>""n""</b> is a sequence of independent random vectors, identically distributed as a "d"-dimensional random vector "X". Let <formula format="inline"><file name="sjos_640_mu1.gif" type="gif" /></formula> be a parameter of interest and <formula format="inline"><file name="sjos_640_mu2.gif" type="gif" /></formula> be some nuisance parameter. The unknown, true parameters ("μ"_<b>0</b>,"ν"_<b>0</b>) are uniquely determined by the system of...

Several testing procedures are proposed that can detect change-points in the error distribution of non-parametric regression models. Different settings are considered where the change-point either occurs at some time point or at some value of the covariate. Fixed as well as random covariates are...

Several classical time series models can be written as a regression model between the components of a strictly stationary bivariate process. Some of those models, such as the ARCH models, share the property of proportionality of the regression function and the scale function, which is an...