In this note, several aspects of a recently proposed specification test in nonparametric models driven by an absolutely regular process are discussed. In particular, we give a more detailed asymptotic analysis of tests based on kernel methods under fixed alternatives using a central limit...

In contrast to conventional model selection criteria, the Focused Information Criterion (FIC) allows for the purpose-specific choice of model specifications. This accommodates the idea that one kind of model might be highly appropriate for inferences on a particular focus parameter, but not for...

We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...