Related papers: Functional delta-method for the bootstrap of quasi…

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special…

This paper proposes asymptotically distribution-free inference methods for comparing a broad range of welfare indices across dependent samples, including those employed in inequality, poverty, and risk analysis. Two distinct situations are…

The functional linear model is an important extension of the classical regression model allowing for scalar responses to be modeled as functions of stochastic processes. Yet, despite the usefulness and popularity of the functional linear…

Entropy-type integral functionals of densities are widely used in mathematical statistics, information theory, and computer science. Examples include measures of closeness between distributions (e.g., density power divergence) and…

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…

For a variant of the algorithm in [Pit19] (arXiv:1903.10816) to compute the approximate density or distribution function of a linear mixture of independent random variables known by a finite sample, it is presented a proof of the functional…

Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modelling of complex structural relationships. However, they are not commonly used in practice due to the need for…

The maximum-likelihood estimator of nonlinear panel data models with fixed effects is consistent but asymptotically-biased under rectangular-array asymptotics. The literature has thus far concentrated its effort on devising methods to…

Functional data analysis is becoming increasingly popular to study data from real-valued random functions. Nevertheless, there is a lack of multiple testing procedures for such data. These are particularly important in factorial designs to…

Filamentary structures, also called ridges, generalize the concept of modes of density functions and provide low-dimensional representations of point clouds. Using kernel type plug-in estimators, we give asymptotic confidence regions for…

This paper proposes a valid bootstrap-based distributional approximation for M-estimators exhibiting a Chernoff (1964)-type limiting distribution. For estimators of this kind, the standard nonparametric bootstrap is inconsistent. The method…

For covariance test in functional data analysis, existing methods are developed only for fully observed curves, whereas in practice, trajectories are typically observed discretely and with noise. To bridge this gap, we employ a…

In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behaviour of these sums as the mesh of the observation times…

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized…

The quasi-maximum likelihood estimation is a commonly-used method for estimating GARCH parameters. However, such estimators are sensitive to outliers and their asymptotic normality is proved under the finite fourth moment assumption on the…

Constructing tests or confidence regions that control over the error rates in the long-run is probably one of the most important problem in statistics. Yet, the theoretical justification for most methods in statistics is asymptotic. The…

We consider the nonparametric estimation of the value of a quadratic functional evaluated at the density of a strictly positive random variable $X$ based on an iid. sample from an observation $Y$ of $X$ corrupted by an independent…

We provide a means of computing and estimating the asymptotic distributions of statistics based on an outer minimization of an inner maximization. Such test statistics, which arise frequently in moment models, are of special interest in…

We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: one-dimensional for…

When the study variable is functional and storage capacities are limited or transmission costs are high, selecting with survey sampling techniques a small fraction of the observations is an interesting alternative to signal compression…