Asymptotic statistics : proceedings of the fifth Prague Symposium [on Asymptotic Statistics], held from September 4-9, 1993. Vol. 1

The Prague Symposia on Asymptotic Statistics represent a twenty years' tradi­ tion of contacts between Czech mathematical statisticians and the conference partic­ ipants. Both, as the organizers hope, return from the Symposia to their work with fresh ideas and new information. The Fifth Prague Symposium was held from September 4 to September 9,1993 at the Faculty of Mathematics and Physics, Charles University. It was sponsored by the Bernoulli Society for Mathematical Statistics and Probability, the Czech Statistical the Czech Society of Actuaries, Ceska Pojistovna-Insurance and Reinsur­ Society, ance Corporation, and the IFIP WG 7.7. Asymptotic Statistics, a prolific source of methodological concepts, dominated the program of the Symposium. Special sessions were devoted to Mathematics of Insurance and Finance and to Stochastic Programming. The papers presented at the Symposium are published in two parts. Part 1 is .. Part 2 is Number 3, Volume 30 (1994) of the journal Kybernetika, this volume comprising the papers of the authors who were not able to meet the early editorial deadline. The editors of the Proceedings would like to express their sincere thanks to the authors for valuable contributions, to the reviewers for prompt and careful reading the papers, to J. Antoch for his advice with technical part of the Proceedings. Finally they also express their appreciation of the kind cooperation with the Publishing House Physica-Verlag and the journal Kybernetika in bringing out the volumes. Part of the Proceedings was typeset by AN(S-TEX, the macrosystem of the Ame­ rican Mathematical Society. Front Matter....Pages I-X Front Matter....Pages 1-1 Procedures for the Detection of Multiple Changes in Series of Independent Observations....Pages 3-20 Probing for Information in Two-Stage Stochastic Programming and the Associated Consistency....Pages 21-33 Outliers and Switches in Time Series....Pages 35-48 Fréchet Differentiability and Robust Estimation....Pages 49-58 Stein Predictors and Prediction Regions....Pages 59-74 Perpetuities and Random Equations....Pages 75-86 On Recent Developments in the Theory of Set-Indexed Processes....Pages 87-109 Regression Rank Scores Scale Statistics and Studentization in Linear Models....Pages 111-121 On an Argmax-Distribution Connected to the Poisson Process....Pages 123-129 Asymptotic Normality of Regression M-Estimators: Hadamard Differentiability Approaches....Pages 131-147 Front Matter....Pages 149-149 Asymptotic Theory for Regression Quantile Estimators in the Heteroscedastic Regression Model....Pages 151-161 Nonnegative Moving-Average Models....Pages 163-171 Biased Samples from a Search and the Asymptotic Behaviour of Bayesian Models....Pages 173-182 A Modification of Least Squares with High Efficiency and High Breakdown Point in Linear Regression....Pages 183-194 Significance of Differences of Estimates....Pages 195-202 Adaptiveness in Time Series Models....Pages 203-211 Kernel Estimators of Integrated Squared Density Derivatives in Non-Smooth Cases....Pages 213-224 Curve Selection: A Nonparametric Approach....Pages 225-236 Complete Convergence....Pages 237-247 Tests for Heteroscedasticity Based on Regression Quantiles and Regression Rank Scores....Pages 249-260 Front Matter....Pages 149-149 Parameter Estimation by Projecting on Structural Statistical Models....Pages 261-271 Some Remarks on the Joint Estimation of the Index and the Scale Parameter for Stable Processes....Pages 273-284 Asymptotic Behaviour of the Error Probabilities in the Pseudo-Likelihood Ratio Test for Gibbs-Markov Distributions....Pages 285-296 Detection of Change in Variance....Pages 297-302 Shrinkage of Maximum Likelihood Estimator of Multivariate Location....Pages 303-318 Almost Sure Invariance Principles for V-and U-Statistics Based on Weakly Dependent Random Variables....Pages 319-327 On Stability in Two-Stage Stochastic Nonlinear Programming....Pages 329-340 Spread Inequality and Efficiency of First and Second Order....Pages 341-348 Confidence Intervals for Regression Quantiles....Pages 349-359 Spatial Quantiles and their Bahadur-Kiefer Representations....Pages 361-367 Asymptotic Expansions of Error Probabilities for Tests....Pages 369-377 An Application of Complex Commutation Functions....Pages 379-383 One-Sided Deviations of a Random Walk Without Moment Assumptions....Pages 385-394 Asymptotic Behaviour of One-Step-M-Estimators in Contaminated Non-Linear Models....Pages 395-404 Conditional Rank Tests for the Two-Sample Problem with Partially Observed Data....Pages 405-413 Finiteness and Continuity of Differential Entropy....Pages 415-419 Characterizations of Discrete Probability Distributions by the Existence of Regular Conditional Distributions Respectively Continuity from Below of Inner Probability Measures....Pages 421-424 Diagnostics of Regression Model: Test of Goodness of Fit....Pages 425-434 On a Multistage Stochastic Linear Program....Pages 435-446 Change Point and Jump Estimates in an AMOC Renewal Model....Pages 447-457 Front Matter....Pages 149-149 Conditions for Consistency of MLE’s....Pages 459-465 Improving Maximum Quasi-Likelihood Estimators....Pages 467-474 The Prague Symposia on Asymptotic Statistics represent a twenty years' tradiƯ tion of contacts between Czech mathematical statisticians and the conference particƯ ipants. Both, as the organizers hope, return from the Symposia to their work with fresh ideas and new information. The Fifth Prague Symposium was held from September 4 to September 9,1993 at the Faculty of Mathematics and Physics, Charles University. It was sponsored by the Bernoulli Society for Mathematical Statistics and Probability, the Czech Statistical the Czech Society of Actuaries, Ceska Pojistovna-Insurance and ReinsurƯ Society, ance Corporation, and the IFIP WG 7.7. Asymptotic Statistics, a prolific source of methodological concepts, dominated the program of the Symposium. Special sessions were devoted to Mathematics of Insurance and Finance and to Stochastic Programming. The papers presented at the Symposium are published in two parts. Part 1 is . Part 2 is Number 3, Volume 30 (1994) of the journal Kybernetika, this volume comprising the papers of the authors who were not able to meet the early editorial deadline. The editors of the Proceedings would like to express their sincere thanks to the authors for valuable contributions, to the reviewers for prompt and careful reading the papers, to J. Antoch for his advice with technical part of the Proceedings. Finally they also express their appreciation of the kind cooperation with the Publishing House Physica-Verlag and the journal Kybernetika in bringing out the volumes. Part of the Proceedings was typeset by AN(S-TEX, the macrosystem of the AmeƯ rican Mathematical Society The papers collected in this book cover a wide range of topics in asymptotic statistics. In particular up-to-date-information is presented in detection of systematic changes, in series of observation, in robust regression analysis, in numerical empirical processes and in related areas of actuarial sciences and mathematical programming. The emphasis is on theoretical contributions with impact on statistical methods employed in the analysis of experiments and observations by biometricians, econometricians and engineers.