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It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands depe...
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al...
The Increment Ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2008) for estimating the long-memory parameter either of a stationary or an increment stationary Gaussian p...
We propose an empirical likelihood test that is able to test the goodness of fit of a class of parametric and semi-parametric multiresponse regression models. The class includes as special cases full...
Let X be the unique solution started from x0 of the stochastic differential equation dXt = µ(t;Xt)dBt +b(t;Xt)dt with B a standard Brownian motion. We consider an approximation of the volatili...
For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f =f0 and we use them to get a be...
A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test stat...

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