The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...

In this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of random vectors. Our motivation resides on the fact that this could enable subsequent uniform approximations of analogous moments and their derivatives. We derive...

In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent...

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...