In this note we analyze the relationship between the direction obtained from the minimization of the kurtosis coefficient of the projections of a mixture of multivariate normal distributions and the linear discriminant function. We show that both directions are closely related and, in...

This paper presents a simple diagnostic tool to assess the sensitivity of the posterior mode in the presence of an infinitesimal contamination in the prior distribution. The proposed diagnostic measure is easy to compute and can be used as a first step in judging the robustness of the Bayesian...

In this note, we analyze the relationship between one-step ahead prediction errors and interpolation errors in time series. We obtain an expression of the prediction errors in terms of the interpolation errors and then we show that minimizing the sum of squares of the one-step ahead standardized...

This article establishes the connection between quadratic discrimination and model selection criterion in the ARMA framework. We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria.

This note shows that the dimension reduction method proposed by Li & Shedden (2002) is equivalent to the dynamic factor model introduced by Peña & Box (1987). Copyright 2009, Oxford University Press.