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We show that the recently developed non-parametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and Tanggaard (J Econ 105(1):185–223, 2001) overall performs notably better than the highly flexible McCulloch (J Finon 30:811–830, 1975) cubic spline and Fama and Bliss (Am Econ Rev 77:680–692, 1987) bootstrap methods. However, if interest is limited...
We consider the classical problem of nonparametrically estimating a star-shaped distribution, i.e., a distribution function F on [0,∞) with the property that F(u)/u is nondecreasing on the set {u : F(u) < 1}. This problem is intriguing because of the fact that a well defined maximum likelihood estimator (MLE) exists, but this MLE is inconsistent. In this paper, we argue that the likelihood that...
The focus of the paper is nonparametric detection of changes in the mean of $$m$$ m -dependent stationary functional data via a cumulative sum (CUSUM) procedure. We consider a projection-based quasi-maximum likelihood CUSUM-procedure which relies on a Darling–Erdős-type limit theorem. Under mild moment assumptions we investigate the asymptotic properties under the null hypothesis and show...
We study minimum Hellinger distance estimation (MHDE) based on kernel density estimators for bivariate time series, such that various commonly used regression models and parametric time series such as nonlinear regressions with conditionally heteroscedastic errors and copula-based Markov processes, where copula densities are used to model the conditional densities, can be treated. It is shown that...
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