In this paper we propose a bootstrap resampling scheme to construct prediction intervals for future values of a variable after a linear ARIMA model has been fitted to a power transformation of it. The advantages over existing methods for computing prediction intervals of power transformed time...

The efficient solution of large-scale linear and nonlinear optimization problems may require exploiting any special structure in them in an efficient manner. We describe and analyze some cases in which this special structure can be used with very little cost to obtain search directions from...

This article deals with Bayesian inference and prediction for M/G/1 queueing systems. The general service time density is approximated with a class of Erlang mixtures which are phase type distributions. Given this phase type approximation, an explicit evaluation of measures such as the...

We propose a vector autoregressive moving average process as a model for daily weather data. For the rainfall variable a monotonic transformation is applied to achieve marginal normality, thus defining a latent variable, with zero rainfall data corresponding to censored values below a threshold....

This paper reviews the applications of classical multivariate techniques for discrimination, clustering and dimension reduction for time series data. It is shown that the discrimination problem can be seen as a model selection problem. Some of the results obtained in the time domain are...

Confidence intervals in time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper proposes a method that combines...

In this paper, we are concerned with predicting the number of faults N and the time to next failure of a piece of software. Information in the form of software metrics data is used to estimate the prior distribution of N via a Poisson regression model. Given failure time data, and a well known...

This article undertake Bayesian inference and prediction for GI/M/1 queueing systems. A semiparametric model based on mixtures of Erlang distributions is considered to model the general interarrival time distribution. Given arrival and service data, a Bayesian procedure based on birth-death...

This paper deals with the optimal quadratic control problem for non-Gaussian discrete-time stochastic systems. Our main result gives explicit solutions for the optimal quadratic control problem for partially observable dynamic linear systems with asymmetric observation errors. For this purpose...

In epidemiological surveillance it is important that any unusual increase of reported cases be detected as rapidly as possible. Reliable forecasting based on a suitable time series model for an epidemiological indicator is necessary for estimating the expected non-epidemic indicator and to...