In statistical modeling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered (see, e.g. Xekalaki et al. (2003, in Stochastic Musings, J.Panaretos (ed.), Laurence Erlbaum), Degiannakis and Xekalaki...

The importance of the Poisson distribution among the discrete distributions has led to the development of several hypothesis tests, for testing whether data come from a Poisson distribution against a variety of alternative distributions. An extended simulation comparison is presented concerning...

The method of moments (MM) has been widely used for parametric estimation, as it is often computationally simple. Our interest focuses on the case of finite Poisson mixtures. The inefficiency of the method of moments relative to the Maximum Likelihood (ML) method is studied. Both the asymptotic...

Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models on the basis of standardized...

In this report, two important issues that arise in the evaluation of the standardized prediction error criterion (SPEC) model selection method are investigated in the context of a simulated options market. The first refers to the question of whether the performance of the SPEC algorithm is...

Diagnostics techniques have been developed for the detection of problems arising in the application of regression models. These problems may be associated with violations of one or more assumptions of the model, with the presence of outliers in the data, with the inappropriate choice of the...

Integer valued time series are useful models for describing dependence structures over time for count data for which classical time series models are inappropriate. Such models have been used for a variety of applications. Difficulties arise in attempting to estimate the parameters via maximum...

In this article several formulae for the approximation of the critical values for tests on the actual values of the process capability indices CPL, CPU, and Cpk are provided. These formulae are based on different approximations of the percentiles of the noncentral t distribution and their...

In statistical modeling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered (see, e.g., Xekalaki et al. (2003, in Stochastic Musings, J.Panaretos (ed.), Laurence Erlbaum), Degiannakis and Xekalaki...