A common feature for compound Poisson and Katz distributions is that both families may be viewed as generalizations of the Poisson law. In this paper, we present a unified approach in testing the fit to any distribution belonging to either of these families. The test involves the probability...

Consider a p-variate counting process N = (...) with jump times {...}. Suppose that the intensity of jumps ... of ... at time t depends on the other components, i. e. ..., where the ... are unknown, nonrandom functions. From observing one single trajectory of the processes N over an increasing...

Model-based multiple imputation has become an indispensable method in the educational and behavioral sciences. Mean and covariance structure models are often fitted to multiply imputed data sets. However, the presence of multiple random imputations complicates model fit testing, which is an...

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.

New estimators for the parameters of the Gamma distribution are proposed, which are used for constructing a test of fit for this model based on the ratio of two variance estimators. The asymptotic null distribution of the test statistic is also included.

This paper proposes a new approach to measure the dependence in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes inside the dependence structure. Recently, two methods using copulas have been...