In this paper, we present two robust estimates for ARCH(p) models: A - and filtered A-estimates. These are defined by the minimization of conveniently robustified likelihood functions. The robustification is achieved by replacing the mean square error of the standardized observations with the...

The concept of SCLM (seasonal or cyclical long memory) implies the existence of one or more spectral poles or zeros. The processes traditionally used to model such a behaviour assume the same persistence across different frequencies. In this paper, we propose semiparametric Wald and Lagrange...

In this paper robust and efficient designs are derived for several exponential decay models. These models are widely used in chemistry, pharmacokinetics or microbiology. We propose a maximin approach, which determines the optimal design such that a minimum of the D-efficiencies (taken over a...

The goals of this paper are twofold: we describe common features in data sets from motor vehicle insurance companies and we investigate a general strategy which exploits the knowledge of such features. The results of the strategy are a basis to develop insurance tariffs. The strategy is applied...