<Para ID="Par1">In this paper, we study the problem of estimating the covariance matrix of stationary multivariate time series based on the minimum density power divergence method that uses a multivariate skew <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>t</mi> </math> </EquationSource> </InlineEquation> distribution family. It is shown that under regularity conditions, the proposed...</equationsource></equationsource></inlineequation></para>

In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our...

Many if not most lifetime distributions are motivated only by mathematical interest. Here, a new three-parameter distribution motivated mainly by lifetime issues is introduced. Some properties of the new distribution including estimation procedures, univariate generalizations and bivariate...

In this article we consider the sample size determination problem in the context of robust Bayesian parameter estimation of the Bernoulli model. Following a robust approach, we consider classes of conjugate Beta prior distributions for the unknown parameter. We assume that inference is robust if...

In this paper, we propose a test for bivariate normality in imperfectly observed models, based on the information matrix test for censored models with bootstrap critical values. In order to evaluate its properties, we run a comprehensive Monte Carlo experiment, in which we use the bivariate...

Partial moments are extensively used in actuarial science for the analysis of risks. Since the first order partial moments provide the expected loss in a stop-loss treaty with infinite cover as a function of priority, it is referred as the stop-loss transform. In the present work, we discuss...

This work stems from the idea of describing the scientific productivity of Italian statisticians. There are several problems that must be addressed in achieving this goal: What data should be used? Have the data been cleaned? What techniques can be used? We propose the use of multiple sources...

In this paper we consider the problem of testing whether two samples of contaminated data arise from the same distribution. Is is assumed that the contaminations are additive noises with known, or estimated moments. This situation can also be viewed as two signals observed before and after...