1. Ying Chen is Assistant Professor, Department of Statistics and Applied Probability, National University of Singapore, Singapore, 117543 . Wolfgang Härdle is Professor, Center for Applied Statistics and Economics, Humboldt University of Berlin, 10178 Berlin, Germany . Seok-Oh Jeong is Assistant Professor, Department of Information Statistics, Hankuk University of Foreign Studies, Mohyun, Yongin 449-791, Korea . This research was supported by the Deutsche Forschungsgemeinschaft through projects SFB 649,...