20 citations · 20 across the 11 of their papers we have counts for
19 papers
Local polynomial estimation of quantile density functions
Niclas Jacobsen, Natalie Neumeyer
A new approach for nonparametric estimation of the quantile density function (sparsity function) and its derivatives is suggested which is based on local polynomial estimation. The…
Analysis of gradual changes in nonparametric regression based on a new optimization method in the non-unique case
Marie Hušková, Natalie Neumeyer, Leonie Selk
Consider a nonparametric regression model with one-dimensional covariates and a continuous regression function. Assume that the regression function from the left of the covariate s…
Goodness-of-fit testing for the error distribution in functional linear models
Natalie Neumeyer, Leonie Selk
We consider the error distribution in functional linear models with scalar response and functional covariate. Different asymptotic expansions of the empirical distribution function…
Testing for changes in the error distribution in functional linear models
Natalie Neumeyer, Leonie Selk
We consider linear models with scalar responses and covariates from a separable Hilbert space. The aim is to detect change points in the error distribution, based on sequential res…
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…
Specification tests in semiparametric transformation models - a multiplier bootstrap approach
Nick Kloodt, Natalie Neumeyer
We consider semiparametric transformation models, where after pre-estimation of a parametric transformation of the response the data are modeled by means of nonparametric regressio…
A copula approach for dependence modeling in multivariate nonparametric time series
Natalie Neumeyer, Marek Omelka, Sarka Hudecova
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of…
Specification testing in nonparametric AR-ARCH models
Marie Hušková, Natalie Neumeyer, Tobias Niebuhr +1
In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonpa…
The independence process in conditional quantile location-scale models and an application to testing for monotonicity
Melanie Birke, Natalie Neumeyer, Stanislav Volgushev
In this paper the nonparametric quantile regression model is considered in a location-scale context. The asymptotic properties of the empirical independence process based on covari…
Heteroscedastic semiparametric transformation models: estimation and testing for validity
Natalie Neumeyer, Hohsuk Noh, Ingrid Van Keilegom
In this paper we consider a heteroscedastic transformation model, where the transformation belongs to a parametric family of monotone transformations, the regression and variance f…
Hypotheses tests in boundary regression models
Holger Drees, Natalie Neumeyer, Leonie Selk
Consider a nonparametric regression model with one-sided errors and regression function in a general Hölder class. We estimate the regression function via minimization of the local…
Testing for a change of the innovation distribution in nonparametric autoregression - the sequential empirical process approach
Leonie Selk, Natalie Neumeyer
We consider a nonparametric autoregression model under conditional heteroscedasticity with the aim to test whether the innovation distribution changes in time. To this end we devel…
A note on nonparametric testing for Gaussian innovations in AR-ARCH models
Natalie Neumeyer, Leonie Selk
In this paper we consider autoregressive models with conditional autoregressive variance, including the case of homoscedastic AR-models and the case of ARCH models. Our aim is to t…
Significance testing in quantile regression
Stanislav Volgushev, Melanie Birke, Holger Dette +1
We consider the problem of testing significance of predictors in multivariate nonparametric quantile regression. A stochastic process is proposed, which is based on a comparison of…