Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution is regularly...

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency....

In this study, we derived analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth, first, and second-order moments of quadratic forms of the multivariate normal, Student's t, and generalised hyperbolic distributions. The resulting formulae were tested in a...

Low income households, especially in the developing countries could suffer losses due to weather related events such as drought, hurricanes, floods etc. Such losses could cast a household into a chronic poverty cycle - a poverty trap from which the household may find it difficult to re-emerge....

Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual claim sizes $(X_i,Y_i), i\ge 1$ and a claim counting random variable $N$. In this paper we are concerned with the joint...

Multivariate mixtures of Erlang distributions form a versatile, yet analytically tractable, class of distributions making them suitable for multivariate density estimation. We present a flexible and effective fitting procedure for multivariate mixtures of Erlangs, which iteratively uses the EM...

It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...

Readymade garment industry is the largest export earning sector of Bangladesh. This industry started its journey since 1972 with a few garment companies which is now 5000 in number. More than 4.20 million workers are working in this industry of which 90 percent are rural women. In 2014-2015,...