8 papers
Specification testing in semi-parametric transformation models
Nick Kloodt, Natalie Neumeyer, Ingrid Van Keilegom
In transformation regression models the response is transformed before fitting a regression model to covariates and transformed response. We assume such a model where the errors ar…
Nonparametric volatility change detection
Maria Mohr, Natalie Neumeyer
We consider a nonparametric heteroscedastic time series regression model and suggest testing procedures to detect changes in the conditional variance function. The tests are based…
Maximum pseudo-likelihood estimation based on estimated residuals in copula semiparametric models
Marek Omelka, Šárka Hudecová, Natalie Neumeyer
This paper deals with a situation when one is interested in the dependence structure of a multidimensional response variable in the presence of a multivariate covariate. It is assu…
Consistent nonparametric change point detection combining CUSUM and marked empirical processes
Maria Mohr, Natalie Neumeyer
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 nonpa…
Semi-parametric transformation boundary regression models
Natalie Neumeyer, Leonie Selk, Charles Tillier
In the context of nonparametric regression models with one-sided errors, we consider parametric transformations of the response variable in order to obtain independence between the…
Bootstrap of residual processes in regression: to smooth or not to smooth ?
Natalie Neumeyer, Ingrid Van Keilegom
In this paper we consider a location model of the form , where is the unknown regression function, the error is independent of the…