Рассматривается одна из прикладных задач такого распространенного на практике направления, как управления переключениями режимов (в данном случае – тарифных...

A common approach to the claims reserving problem is based on generalized linear models (GLM), where the claims in different origin and development years are assumed to be independent variables. If this is violated, the classical techniques may provide incorrect predictions of the claims...

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...