In a recent article, Noh, El Ghouch, and Bouezmarni proposed a new semiparametric estimate of a regression function with a multivariate predictor, which is based on a specification of the dependence structure between the predictor and the response by means of a parametric copula. This comment...

Since the introduction by Koenker and Bassett, quantile regression has become increasingly important in many applications. However, many non-parametric conditional quantile estimates yield crossing quantile curves (calculated for various "p"  is an element of  (0, 1)). We propose a new...

Classical spectral analysis is based on the discrete Fourier transform of the autocovariances. In this article we investigate the asymptotic properties of new frequency‐domain methods where the autocovariances in the spectral density are replaced by alternative dependence measures that can be...

This paper describes an algorithm to compute the distribution of conditional forecasts,i.e. projections of a set of variables of interest on future paths of some othervariables, in dynamic systems. The algorithm is based on Kalman filtering methods andis computationally viable for large vector...