We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation – R/S analysis and DFA. Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with finite sample properties which are crucial as the...

Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values...

In this paper we consider the classical newsvendor model with profit maximization. When demand is fully observed in each period and follows either the Rayleigh or the exponential distribution, appropriate estimators for the optimal order quantity and the maximum expected profit are established...

To testify RIP, this study scrutinizes the mean-reversion behavior of bilateral real interest differentials (RIDs) in eight East Asian economies. We incorporate the ASEAN-5, South Korea and China (mainland) with the US and Japan taken as base countries. Four sub-samples within 1976-2004 are...

In this paper we will use the Bayesian inference for the parameters that appear in the queueing systems. We will estimate these parameters and we will build confidence intervals and significance tests for them, considering the parameters of the exponential Poisson and geometric distribution. We...

The paper deals with some new indices for ordinal data that arise from sample surveys. Their aim is to measure the degree of concentration to the “positive” or “negative” answers in a given question. The properties of these indices are examined. Moreover, methods for constructing...

We investigate the behavior of real exchange rates of six East-Asia countries in relation to their two major trading partners – the US and Japan. These countries, Singapore excepted, were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 and the...

This paper considers the classical newsvendor model when demand is normally distributed but with a large coefficient of variation. This leads to observe with a non-negligible probability negative values that do not make sense. To avoid the occurrence of such negative values, first, we derive...

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability,...

We compare several confidence intervals after model selection in the setting recently studied by Berk et al. (2013), where the goal is to cover not the true parameter but a certain non-standard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals...