The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books...

The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we...

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Interaction effects have been consistently found important in explaining the variation in outcomes in many scientific research fields. Yet, in practice, variable selection including interactions is complicated due to the limited sample size, conflicting philosophies regarding model...

Every year, the federal government regulates how many pounds of summer flounder (while these fish are called summer flounder, they are caught throughout the year) can be caught along the eastern seaboard. Annually, the federal government sets the total allowable landings (TAL) based on...

In many scientific and medical settings, large-scale experiments are generating large quantities of data that lead to inferential problems involving multiple hypotheses. This has led to recent tremendous interest in statistical methods regarding the false discovery rate (FDR). Several authors...