Displaying similar documents to “The formulation of structural time series models in discrete and continuous time.”

Change-Point problems: approaches and applications.

Adrian F. M. Smith (1980)

Trabajos de Estadística e Investigación Operativa

Similarity:

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.

Analysis of variance as regression model with a reparametrization restriction

Karel Zvára (1992)

Applications of Mathematics

Similarity:

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.

Dynamic credibility with outliers and missing observations

Tomáš Cipra (1996)

Applications of Mathematics

Similarity:

In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the M -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.