External imbalances in the eurozone have become an issue of increased interest as an indicator of overall macroeconomic disequilibria. We focus on the euro-area countries with data available that has not been seasonally adjusted: Finland, France, the Netherlands, Italy and Spain. We use periodic...

The paper deals with a mathematical model of a surveillance system based on a net of sensors. The signals acquired by each node of the net are Markovian process, have two different transition probabilities, which depends on the presence or absence of a intruder nearby. The detection of the...

We register a random sequence which has the following properties: it has three segments being the homogeneous Markov processes. Each segment has his own one step transition probability law and the length of the segment is unknown and random. It means that at two random successive moments (they...

Построены модели, представляющие собой динамические авторегрессионные модели с распределенными лагами и содержащие лаговые значения объясняемой переменной...

A new method for testing linear restrictions in linear regression models is suggested. It allows to validate the linear restriction, up to a specified approximation error and with a specified error probability. The test relies on asymptotic normality of the test statistic, and therefore...

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...