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This paper discusses the correlation structure between London Interbank Offered Rates (LIBOR) by using copula function. We start from one simplified model of Brace, Gatarek & Musiela (1997) and find o...
The notion of contamination level is introduced and its characterization for any pair of distribution functions is given. A possibility of reformulation of some basic problems of the robust statist...
Role of Regression Estimator Involving Measurement Errors。
When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently available results indicate t...
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...

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