We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic is a sufficient statistic for the unobservables when sampling arises from the exponential family of distributions. Linear predictors, on the other hand, can be obtained as...

The Story of the Hats is a puzzle in social epistemology. It describes a situation in which a group of rational agents with common priors and common goals seems vulnerable to a Dutch book if they are exposed to different information and make decisions independently. Situations in which this...

In the analysis of microarray data, and in some other contemporary statistical problems, it is not uncommon to apply hypothesis tests in a highly simultaneous way. The number, N say, of tests used can be much larger than the sample sizes, n, to which the tests are applied, yet we wish to...

We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact interval to enable a meaningful estimation theory. We demonstrate that the...

In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit...

We study the perpetual American option characteristics in the case where the underlying dynamics involve a Brownian motion and a point process with a stochastic intensity. No assumption on the distribution of the jump size is made and we work with an arbitrary positive or negative jump. After...

A semiparametric hazard model with parametrized time but general covariate dependency is formulated and analyzed inside the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters: the resulting estimator is n1/2-consistent,...