5 papers
Multivariate boundary regression models
Leonie Selk, Charles Tillier, Orlando Marigliano
In this work, we consider a multivariate regression model with one-sided errors. We assume for the regression function to lie in a general Hölder class and estimate it via a nonpar…
Estimating change points in nonparametric time series regression models
Maria Mohr, Leonie Selk
In this paper we consider a regression model that allows for time series covariates as well as heteroscedasticity with a regression function that is modelled nonparametrically. We…
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…
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…