A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

This article details a Bayesian analysis of the Nile river flow data, using a simple state space model. This allows the article to concentrate on implementation issues surrounding this model. For this data set, Metropolis-Hastings and Gibbs sampling algorithms are implemented in the programming...

Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere positive transition densities. The local dependence structure of the unique strictly stationary evolution of such a system can be expressed by the ratio of joint and marginal...

Strategic choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. A comparative analysis is presented of possible advantages and limitations of different simulation...

This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...

Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...

Many statistical and econometric learning methods rely on Bayesian ideas, often applied or reinterpreted in a frequentist setting. Two leading examples are shrinkage estimators and model averaging estimators, such as weighted-average least squares (WALS). In many instances, the accuracy of these...

We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external...

Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...