Credit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these measures is that they treat default as a binary variable...

We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...

In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are frequently advocated in the literature, viz the sample mean vector, the James-Stein and Bayes-Stein estimator, the minimum-variance estimator, and the CAPM estimator. I resolve the...

This paper introduces a new non-parametric approach to the modeling of circular data, based on the use of Bernstein polynomial densities which generalizes the standard Bernstein polynomial model to account for the specific characteristics of circular data. It is shown that the trigonometric...

Earlier researchers have studied some aspects of the classes of distribution functions with decreasing ?-percentile residual life (DPRL(?)), 0 ? 1. The purpose of this paper is to note some further properties of these classes, and to initiate a theory of nonparametric statistical estimation of...

This paper designs, evaluates, and tests a tractable priority-index policy for scheduling target updates in a discrete-time multitarget tracking model, which aims to be close to optimal relative to a discounted or average performance objective accounting for tracking-error variance and...

Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the...

In reliability theory and survival analysis, many set of data are generated by distributions with bathtub shaped hazard rate functions. Launer (1993) established several relations between the behaviour of the hazard rate function and the percentile residual life function. In particular,...

The adequacy of GARCH models is often analyzed by comparing plug-in and sample kurtosis and autocorrelations of squares. We analyse the finite sample suitability of this comparison and show that it is not appropiate in general.

Functional data are difficult to manage for many traditional statistical techniques given their very high (or intrinsically infinite) dimensionality. The reason is that functional data are essentially functions and most algorithms are designed to work with (low) finite-dimensional vectors....