Now showing items 1-2 of 2

    • Fourier methods for analyzing piecewise constant volatilities 

      Wornowizki, Max; Meintanis, Simos G.; Fried, Roland (Springer, 2017)
      We develop procedures for testing whether a sequence of independent random variables has constant variance. If this is fulfilled, the modulus of a Fourier-type transformation of the volatility process is identically equal ...
    • Independence tests in semiparametric transformation models 

      Hušková, Marie; Meintanis, Simos G.; Pretorius, Charl; Neumeyer, Natalie (SASA, 2018)
      Consider an observed response Y which, following a certain transformation Yϑ by := Tϑ (Y ), can be expressed by a homoskedastic nonparametric regression model reference a vector X of regressors. If this transformation model ...