Article-Journal

Martingale representations of the Lynden–Bell estimator with applications
We derive a martingale representation for the Lynden–Bell estimator $F_n$ and show that $F_n$ fulfills linear upper and lower …
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Partial sufficiency and density estimation
In this paper, we study the usefulness of the concept of partial sufficiency, in the sense of Fraser, when it is applied to the problem …
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Bootstrap bandwidth selection using an $h$-dependent pilot bandwidth
The problem of choosing the bandwidth $h$ for kernel density estimation is considered. All the plug-in-type bandwidth selection methods …
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Outlier detection in functional data by depth measures with application to identify abnormal NOx levels
This paper analyzes outlier detection for functional data by means of functional depths, which measures the centrality of a given curve …
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A functional analysis of NOx levels: Location and scale estimation and outlier detection
This paper analyzes the NOx levels measured by a control station near a power plant by using techniques for functional data. First, we …
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A note on kernel density estimation at a parametric rate
In the context of kernel density estimation, we give a characterization of the kernels for which the parametric mean integrated squared …
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Bayesian estimation of the Gaussian mixture GARCH model
Bayesian inference and prediction for a generalized autoregressive conditional heteroskedastic (GARCH) model where the innovations are …
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Covariance changes detection in multivariate time series
This paper studies the detection of step changes in the variances and in the correlation structure of the components of a vector of …
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Improved model selection criteria for SETAR time series models
The purpose of this paper is threefold. First, we obtain the asymptotic properties of the modified model selection criteria proposed by …
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On the connection between model selection criteria and quadratic discrimination in time series models
This article establishes the connection between quadratic discrimination and model selection criterion in the ARMA framework. We show …
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