Some classical inference procedures can be shown to be completely robust in theses classes of multivariate distributions. These findings are used in the practically relevant context of regression models. We present a robust bayesian analysis and indicate the links between classical and Bayesian...

The paper is about the economic modelling of aggregate consumption expenditure with particular emphasis on the distribution effect of income. Under certain assumptions on the evolution over time of the population of households ("structural stability") we shall derive a first order approximation...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

Jump points in curves arise when the conditions under which data are generated change suddenly, for example because of an unplanned change in a treatment. If the size of the jump in the treatment effect exceeds the range of the error distribution then the design interval within which the jump...

There are serious reasons to assume that logarithmic stock returns are normally distributed, however, it is frequently denoted that the empirical distribution of stock returns characteristically deviates from a normal distribution : It is leptokurtic, it is peaked and it has thick tails.

An encompassing test between two models is based on the idea that the fist model is able to explain the inference obtained by the second model. In a Bayesian framework, the posterior distribution of the second model will then be compared to the posterior distribution built in the first model t...

This paper provides a test of monotonicity of a regression function. The test is based on the size of a "critical" bandwidth, the amount of smooting necessary to force a nonparametric regression estimate to be monotone. It is analogous to Silverman's test of multimodality in density estimation.