This article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are...

This article presents a comparison of four methods to compute the posterior probabilities of the possible orders in polynomial regression models. These posterior probabilities are used for forecasting by using Bayesian model averaging. It is shown that Bayesian model averaging provides a closer...

A major problem in statistical quality control is to detect a change in the underlying distribution of independent sequentially observed random vectors. The case where the prechange distribution is Gaussian has been extensively analyzed. We are concerned here with the less usual non-normal...

In this paper, unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models. The proposed model allows to...

A bayesian approach is used to estimate a nonparametric regression model. The main features of the procedure are, first, the functional form of the curve is approximated by a mixture of local polynomials by Bayesian Model Averaging (BMA); second, the model weights are approximated by the BIC...

Inequality and polarization analyses are complementary but conceptually different. They are usually implemented independently in practic e, with different a priori assumptions and different tools. In this paper, we develop a unique method to study simultaneously these different and complementary...

In this article, we define a model for fault detection during the beta testing phase of a software design project. Given sampled data, we illustrate how to estimate the failure rate and the number of faults in the software using Bayesian statistical methods with various different prior...

The objective of this paper is to analyze the finite sample performance of two variants of the likelihood ratio test for detecting a level shift in uncorrelated conditionally heteroscedastic time series. We show that the behavior of the likelihood ratio test is not appropriate in this context...

This paper compares the statistical properties of the records from i.i.d. time series with those of time series containing a single unit root. It is shown that there are important differences in both the limiting distributions and the convergence rates of the associated record counting...

In this article we use Bayesian methods to fit a Weibull mixture model with an unknown number of components to possibly right censored survival data. This is done using the recently developed, birth-death MCMC algorithm. We also show how to estimate the survivor function and the expected hazard...