In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we rst prove a central limit theorem for independent...

In this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. Our motivation resides on the fact that this could enable subsequent polynomial asymptotic expansions of moments. These could be useful...

Degenerate U- and V-statistics play an important role in the field of hypothesis testing since numerous test statistics can be formulated in terms of these quantities. Therefore, consistent bootstrap methods for U- and V-statistics can be applied in order to determine critical values for these...

Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new...

Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new...

By implementing the Copulas method, this work analyses the dependence relationship or structure between the Brazilian consumer observed inflation and the expected inflation, from January 2005 to June 2011. Its results are consistent with some works for the Brazilian case, as the dependence...

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

In this paper an overview is given over recent theoretical developments in autoregressive count time series. The focus is on generalized autoregressive models where the autoregressive structure is incorporated via a link function. Starting from an ordinary autoregressive model the difficulties...

Empirical and sequential empirical copula processes play a central role for statistical inference on copulas. However, as pointed out by Johan Segers [J. Segers, Asymptotics of empirical copula processes under non-restrictive smoothness assumptions, Bernoulli 18 (3) (2012) 764–782] the usual...

We establish an invariance principle for a general class of stationary random fields indexed by Zd, under Hannan’s condition generalized to Zd. To do so we first establish a uniform integrability result for stationary orthomartingales, and second we establish a coboundary decomposition for...