Sample estimates of moments and cumulants are known to be unstable in the presence of outliers. This problem is especially severe for higher order statistics, like kurtosis, which are used in algorithms for independent components analysis and projection pursuit. In this paper we propose robust generalizations of moments and cumulants that are more insensitive to outliers but at the same time re...

This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating relationship for empirical modelling. The asymptotic and small sample properties of our tests are inv...

The application of nonlinear transformations to a linearly modulated communication signal for the purpose of revealing hidden periodicities has proven to be useful for automatic modulation recognition (AMR). The fact that the hidden periodicities, referred to as Higher Order Cyclostationary Statistics (HOCS), are compressible in the Fourier domain motivates the use of compressive sensing (CS) a...

Order statistics arising from exponentiated gamma (EG) distribution are considered. Closed from expressions for the single and double moments of order statistics are derived. Measures of skewness and kurtosis of the probability density function of the rth order statistic for different choices of r, n and /theta are presented. Recurrence relations between single and double moments of r...

This paper considers the nonparametric identification and estimation of the average effect of a dummy endogenous variable in nonseparable models. The analysis includes the case of a dummy endogenous variable in a discrete choice model as a special case. This paper establishes conditions under which it is possible to identify and consistently estimate the average effect of the dummy endogenous v...