A monotone estimate of the conditional variance function in a heteroscedastic, nonpara- metric regression model is proposed. The method is based on the application of a kernel density estimate to an unconstrained estimate of the variance function and yields an esti- mate of the inverse variance...

We construct uniform confidence bands for the regression function in inverse, homoscedastic regression models with convolution-type operators. Here, the convolution is between two non-periodic functions on the whole real line rather than between two period functions on a compact interval, since...

We consider a new class of estimators for volatility functionals in the setting of frequently observed It¯o diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence...

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the...

The purpose of this paper is to propose a procedure for testing the equality of several regression curves fi in nonparametric regression models when the noise is inhomogeneous. This extends work of Dette and Neumeyer (2001) and it is shown that the new test is asymptotically uniformly more...

In this paper it is shown that the number of latent factors in a multiple multivariate regression model need not be larger than the number of the response variables in order to achieve an optimal prediction. The practical importance of this lemma is outlined and an application of such a...

In order to distinguish between the sounds of different musical instruments, certain instrument-specific sound features have to be extracted from the time series representing a given recorded sound. The Hough Transform is a pattern recognition procedure that is usually applied to detect specific...

Categorical data occur in a wide range of statistical applications. If the data are observed in matched pairs, it is often of interest to examine the differences between the responses. We concentrate on tests of axial symmetry in two-way tables. A commonly used procedure is the Bowker test which...

The more variables a logic expression contain, the more complicated is the interpretation of this expression. Since in a statistical sense prime implicants can be interpreted as interactions of binary variables, it is thus advantageous to convert such a logic expression into a disjunctive normal...

In the common Fourier regression model we investigate the optimal design problem for estimating pairs of the coefficients, where the explanatory variable varies in the interval [¡¼; ¼]. L-optimal designs are considered and for many important cases L-optimal designs can be found explicitly,...