A dynamic factor model for economic time series
Francisco Javier Fernández-Macho (1997)
Kybernetika
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Francisco Javier Fernández-Macho (1997)
Kybernetika
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Víctor Gómez, A. Gómez-Villegas (1998)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
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Adrian F. M. Smith (1980)
Trabajos de Estadística e Investigación Operativa
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Problems of making inferences about abrupt changes in the mechanism underlying a sequence of observations are considered in both retrospective and on-line contexts. Among the topics considered are the Lindisfarne scribes problem; switching straight lines; manoeuvering targets, and shifts of level or slope in linear time series models. Summary analyses of data obtained in studies of schizophrenic and kidney transplant patients are presented.
Luo, Dongwen, Jones, Geoffrey, Dennis, Judith (2006)
Journal of Applied Mathematics and Decision Sciences
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Pavla Kunderová (2000)
Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
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Karel Zvára (1992)
Applications of Mathematics
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Let us consider the linear model covering the one-way classification as a special casse. In the paper the relationship between testing of some linear hypothesis and estimating of parameters in the linear model by common software packages is examined.
Tomáš Cipra (1996)
Applications of Mathematics
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In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the -estimation principle from robust statistics in combination with Kalman filtering one obtains the solution of this problem that is acceptable in the numerical framework of the practical actuarial credibility. The credibility models are classified as static and dynamic in this paper and the shrinkage is used for the final ratemaking.