Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...

In the context of sufficient dimension reduction, the goal is to parsimoniously recover the central subspace of a regression model. Many inverse regression methods use slicing estimation to recover the central subspace. The efficacy of slicing estimation depends heavily upon the number of...

First, to test the existence of random effects in semiparametric mixed models (SMMs) under only moment conditions on random effects and errors, we propose a very simple and easily implemented non-parametric test based on a difference between two estimators of the error variance. One test is...

An exhaustive search as required for traditional variable selection methods is impractical in high dimensional statistical modeling. Thus, to conduct variable selection, various forms of penalized estimators with good statistical and computational properties, have been proposed during the past...

In parameter estimation, it is not a good choice to select a “best model” by some criterion when there is model uncertainty. Model averaging is commonly used under this circumstance. In this paper, transformation-based model averaged tail area is proposed to construct confidence interval,...

type="main" xml:id="sjos12044-abs-0001" <title type="main">ABSTRACT</title>The purpose of this article is threefold. First, variance components testing for ANOVA-type mixed models is considered, in which response may not be divided into independent sub-vectors, whereas most of existing methods are for models where...

Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance,...

Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng et al. (2013) modified it to give another definition. This note provides more...

Existing model-free tests of the conditional coordinate hypothesis in sufficient dimension reduction (Cook (1998) [3]) focused mainly on the first-order estimation methods such as the sliced inverse regression estimation (Li (1991) [14]). Such testing procedures based on quadratic inference...