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In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler (2008) proposed a test statistic, which is based on an empirical process…
We introduce a novel distribution-based estimator for the Hurst parameter of log-volatility, leveraging the Kolmogorov-Smirnov statistic to assess the scaling behavior of entire distributions rather than individual moments. To address the…
A weakly dependent time series regression model with multivariate covariates and univariate observations is considered, for which we develop a procedure to detect whether the nonparametric conditional mean function is stable in time against…
Testing hypotheses of goodness-of-fit about mixture distributions on the basis of independent but not necessarily identically distributed random vectors is considered. The hypotheses are given by a specific distribution or by a family of…
Among the various models designed for dependent count data, integer-valued autoregressive (INAR) processes enjoy great popularity. Typically, statistical inference for INAR models uses asymptotic theory that relies on rather stringent…
Model checking plays an important role in linear regression as model misspecification seriously affects the validity and efficiency of regression analysis. In practice, model checking is often performed by subjectively evaluating the plot…
We consider tests of hypotheses when the parameters are not identifiable under the null in semiparametric models, where regularity conditions for profile likelihood theory fail. Exponential average tests based on integrated profile…
Consider a nonparametric regression model with one-sided errors and regression function in a general H\"older class. We estimate the regression function via minimization of the local integral of a polynomial approximation. We show uniform…
A residual-based empirical distribution function is proposed to estimate the distribution function of the errors of a heteroskedastic nonparametric regression with responses missing at random based on completely observed data, and this…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonparametrically. A test for the model assumption of…
In the classic measurement error framework, covariates are contaminated by independent additive noise. This paper considers parameter estimation in such a linear errors-in-variables model where the unknown measurement error distribution is…
This paper investigates the estimation of the self-similarity parameter in fractional processes. We re-examine the Kolmogorov-Smirnov (KS) test as a distribution-based method for assessing self-similarity, emphasizing its robustness and…
This paper proposes a Kolmogorov-Smirnov type statistic and a Cram\'er-von Mises type statistic to test linearity in semi-functional partially linear regression models. Our test statistics are based on a residual marked empirical process…
In this paper we investigate the problem of testing the assumption of stationarity in locally stationary processes. The test is based on an estimate of a Kolmogorov-Smirnov type distance between the true time varying spectral density and…
This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coefficient depends on the finite…
Conformal inference is a versatile tool for building prediction sets in regression or classification. We study the false coverage proportion (FCP) in a simultaneous inference setting with a calibration sample of $n$ points and a test sample…
Residual marked empirical process-based tests are commonly used in regression models. However, they suffer from data sparseness in high-dimensional space when there are many covariates. This paper has three purposes. First, we suggest a…
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…