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A statistical model is a mathematical representation of an often simplified or idealised data-generating process. In this paper, we focus on a particular type of statistical model, called linear mixed models (LMMs), that is widely used in…
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error…
The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may…
This paper proposes self-normalized tests for multistep conditional predictive ability in forecast comparison. By normalizing the sample mean of the transformed loss differential using functionals of its cumulative sum (CUSUM) process,…
In this paper, utilizing recent theoretical results in high dimensional statistical modeling, we propose a model-free yet computationally simple approach to estimate the partially linear model $Y=X\beta+g(Z)+\varepsilon$. Motivated by the…
In this work, we report our efforts to advance the standard operation procedure of developing Large Language Models (LLMs) or LLMs-based systems or services in industry. We introduce the concept of Large Language Model Development Lifecycle…
Permutation tests are widely recognized as robust alternatives to tests based on normal theory. Random permutation tests have been frequently employed to assess the significance of variables in linear models. Despite their widespread use,…
We propose a general method for constructing confidence intervals and statistical tests for single or low-dimensional components of a large parameter vector in a high-dimensional model. It can be easily adjusted for multiplicity taking…
This article proposes a novel estimator for regression coefficients in clustered data that explicitly accounts for within-cluster dependence. We study the asymptotic properties of the proposed estimator under both finite and infinite…
Nonparametric series regression often involves specification search over the tuning parameter, i.e., evaluating estimates and confidence intervals with a different number of series terms. This paper develops pointwise and uniform inferences…
This paper establishes the almost sure convergence and asymptotic normality of levels and differenced quasi maximum-likelihood (QML) estimators of dynamic panel data models. The QML estimators are robust with respect to initial conditions,…
This article investigates the asymptotic distribution of penalized estimators with non-differentiable penalties designed to recover low-dimensional pattern structures. Patterns play a central role in estimation, as they reveal the…
In this paper, we develop new multiscale methods to test qualitative hypotheses about the regression function m in a nonparametric regression model with fixed design points and time series errors. In time series applications, m represents a…
This paper presents a model selection technique of estimation in semiparametric regression models of the type Y_i=\beta^{\prime}\underbarX_i+f(T_i)+W_i, i=1,...,n. The parametric and nonparametric components are estimated simultaneously by…
A non parametric method based on the empirical likelihood is proposed for detecting the change in the coefficients of high-dimensional linear model where the number of model variables may increase as the sample size increases. This amounts…
The paper proposes a specification test based on two estimates of distribution function. One is the traditional kernel distribution function estimate and the other is a newly proposed convolution-type distribution function estimate.…
In this paper, we propose new specification tests for regression models with measurement errors in the explanatory variables. Inspired by the integrated conditional moment (ICM) approach, we use a deconvoluted residual-marked empirical…
A goodness-of-fit test for the fitting of a parametric model to data obtained from a detector with finite resolution and limited acceptance is proposed. The parameters of the model are found by minimization of a statistic that is used for…
We introduce estimation and test procedures through divergence minimization for models satisfying linear constraints with unknown parameter. Several statistical examples and motivations are given. These procedures extend the empirical…
In conditional copula models, the copula parameter is deterministically linked to a covariate via the calibration function. The latter is of central interest for inference and is usually estimated nonparametrically. However, when a…