In this paper, we derive an optimal test for determining break positions in Gaussian linear regressions. The procedure is an admissible rule in a multiple decision theory setting and the results are exact and valid in small samples. The analysis indicates that regression design can have a very...

It is well-known that the presence of serial correlation may result in an inefficient or even biased estimation in time series analysis. In this paper, we consider testing serial correlation when the model error follows a GARCH process which is frequently used in modelling financial data. Two...

The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment...