Recent work on the theory of regression with integrated process is reviewed. This work is particularly relevant in economics where many financial series and macroeconomic time series exhibit nonstationary characteristics and are often well modeled individually as simple ARIMA processes. The...

In this paper a new mixing condition for sequences of random variables is considered. This mixing condition is termed ã-mixing. Whereas mixing conditions such as á-mixing are typically defined in terms of entire ó-fields of sets generated by random variables in the distant...

The paper deals with two methods of solving optimization programs where uncertainties occur: stochastic (in particular chance-constrained) programming and robust programming. We review briefly how these two methods deal with uncertainty and what approximations are commonly used. Furthermore, we...

An asymptotic theory is given for autoregressive time series with weakly dependent innovations and a root of the form rho_{n} = 1+c/n^{alpha}, involving moderate deviations from unity when alpha in (0,1) and c in R are constant parameters. The limit theory combines a functional law to a...

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...

For high dimensional data sets the sample covariance matrix is usually unbiased but noisy if the sample is not large enough. Shrinking the sample covariance towards a constrained, low dimensional estimator can be used to mitigate the sample variability. By doing so, we introduce bias, but reduce...

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...

Some multiple tests controlling the false discovery rate (FDR) under independence also control the FDR under weak dependence if the proportion of rejected null hypotheses is asymptotically larger than zero. We show that weak dependence is not sufficient for FDR control if the proportion of...