Preface; Contents; Contributors; A Numerical Study of the Power Function of a New Symmetry Test; 1 Introduction; 2 Motivation and Test Statistic; 3 Practical Implementation; 4 Numerical Evaluation of the Test's Power; References; Nonparametric Test on Process Capability; 1 Introduction; 2 Permutation Test on Capability; 3 Monte Carlo Simulation Study; 4 Conclusions; References; Testing for Breaks in Regression Models with Dependent Data; 1 Introduction; 2 The Model and Test. Regularity Conditions; 3 Results; 3.1 Power of the Test; 4 The Bootstrap Approach; 5 Monte-Carlo

6 Proofs of the Main Results7 Auxiliary Lemmas; References; Change Detection in INARCH Time Series of Counts; 1 Introduction; 2 Model and Hypotheses; 3 Test Statistic; 4 Asymptotics; 5 Extensions; 6 Short Simulation Study; 7 Real Data Example; 8 Proofs; References; Varying Coefficient Models Revisited: An Econometric View; 1 The Causality Problem in the Presence of Heterogeneous Returns; 2 Triangular Varying Coefficient Models with Instruments; 3 An Example; References; Kalman Filtering and Forecasting Algorithms with Use of Nonparametric Functional Estimators; 1 Introduction

2 Problem Formulation3 Filtering Algorithm for Systems with Unknown Input; 4 Prediction Algorithm for Systems with Unknown Input; 5 An Illusrative Example; 6 Conclusion; References; Regularization of Positive Signal Nonparametric Filtering in Multiplicative Observation Model; 1 Introduction; 2 Multivariate Gamma Kernel Estimator; 2.1 Properties of the Gamma Kernel Density Estimator by Dependent Data; 2.2 Properties of the Gamma Kernel Density Derivative Estimator by Dependent Data; 2.3 Optimal Bandwidths for Multivariate Density and Its Partial Derivative; 2.4 Gamma Rule of Thumb

3 Asymptotically Optimal Regularization Parameter and Its Estimation3.1 The Equation for the Asymptotically Optimal Regularization Parameter; 3.2 Cross-Validation Estimate; 4 Numerical Comparison of Filters; 5 Conclusion; References; Nonparametric Estimation of Heavy-Tailed Density by the Discrepancy Method; 1 Introduction; 2 Discrepancy Method and Heavy-Tailed Densities; 3 A Simulation Study of Heavy-Tailed Density Estimation; 4 Conclusions; References; Robust Estimation in AFT Models and a Covariate Adjusted Mann
Whitney Statistic for Comparing Two Sojourn Times; 1 Introduction

2 Methodology2.1 Data Structure and Notations; 2.2 A Covariate Adjusted Mann
Whitney U-Statistic; 2.3 Robust Estimation in the AFT Model of Waiting Times in Presence of censoring; 2.4 IPCW Mann
Whitney; 3 Simulation Studies; 3.1 Bias and Variance Study; 3.2 Power Study; 4 Application to Spinal Cord Injury Data; 5 Discussion; References; Claim Reserving Using Distance-Based Generalized Linear Models; 1 Introduction; 2 Claim Reserving: The Chain-Ladder Method; 2.1 Generalized Linear Model: A Stochastic Chain-Ladder Method; 3 Distance-Based Generalized Linear Models; 4 Numerical Example