Supplementary material (R codes and data sets) for selected publications
Hlávka, Hušková, Kirch, and Meintanis
(2017): Fourier-type tests involving martingale difference
processes, Econometric Reviews, 36(4), 468-492, DOI: 10.1080/07474938.2014.977074.
→ Download from publisher, computer code for the S&P example in R and C.
Hlávka, and Hušková (2017): Two-sample gradual
REVSTAT 15 (3).
→ R code for the jumping speeds example.
Härdle, Hlávka (2015): Multivariate Statistics: Exercises and
Solutions, 2nd edition, Springer, contains solved exercises from multivariate
→ Data sets and computer codes in R are available on-line, see also www.quantlet.de.
Henze, Hlávka, and Meintanis (2014): Testing for spherical symmetry via the empirical characteristic function,
Statistics: A Journal of Theoretical and Applied Statistics
→ Computer code for the AIS example in R and C.
Hlávka (2012): Optimal designs for nonparametric estimation of
zeros of regression functions,
Tatra Mountains Mathematical Publications 51: 55-65.
→ PDF file available at journal webpage.
Hlávka (2011): On nonparametric estimators of location of
Acta Universitatis Carolinae - Mathematica et Physica 52(1): 5-13.
→ Preprint (PDF)
Hlávka, Hušková, and Meintanis (2011): Tests for independence in
non-parametric heteroscedastic regression models,
Journal of Multivariate Analysis 102: 816-827.
→ Computer code for the proposed test statistics in R and C.
Meintanis and Hlávka (2010): Goodness-of-fit tests for bivariate and
multivariate skew-normal distributions, Scandinavian Journal of
Statistics 37(4): 701-714.
→ Computer code for the MGF goodness-of-fit test statistic in R and C.
Härdle, Hlávka (2007): Multivariate Statistics: Exercises and
Solutions, Springer, contains solved exercises from multivariate
→ Errata, data sets, and computer codes in R and XploRe are available on-line.
The code for nonparametric SPD estimation using R was developed in the framework of the
1K04018 programme sponsored by the Czech Ministry of Education:
• The computer code is available as R library SPDest. The first example estimates the SPD using only call options. The second example estimates the SPD using both call and put options.
• The methods are described in the papers Härdle, Hlávka (2009): Dynamics of State Price Densities, Journal of Econometrics 150, pp. 1-15 and Hlávka (2006): Fast Algorithm for Nonparametric Arbitrage-free SPD Estimation, Computational Statistics and Data Analysis 51(4), 2339-2349.
Free HTML version of Härdle, Hlávka, Klinke (2000): XploRe Application Guide, Springer, Berlin.
Habilitation thesis (2011): Some Extensions of Nonparametric Regression Models (pdf, slides), Charles University in Prague.
Ph.D. thesis (2000): Robust Sequential Methods (pdf), Charles University in Prague.
MSc. project (1996): Mixed Models for Primary Education in Rural Areas of Madagascar (pdf), LUC Diepenbeek.
Diploma thesis (1995): Analysis of Hydrometeorological Time Series [in Czech]
(pdf), Charles University in Prague.