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Multivariate exponential smoothing: A Bayesian forecast approach based on simulation

Bermúdez, José D.; Corberán-Vallet, Ana; Vercher, … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 5, pp. 1761-1769

This paper deals with the prediction of time series with correlated errors at each time point using a Bayesian forecast approach based on the multivariate Holt–Winters model. Assuming that each of the univariate time series comes from the univariate Holt–Winters model, all of them sharing a...

Persistent link: https://www.econbiz.de/10011050514

The discontinuous trend unit root test when the break point is misspecified

Morimune, Kimio; Nakagawa, Mitsuru - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 417-427

Dickey and Fuller proposed some tests for the unit root hypothesis in uni-variate time series. [P. Perron, The great crash, the oil price shock, and the unit root hypothesis, Econometrica 57 (1989) 1361–1401] extended the t-ratio type unit root tests so that they allow for a break in the...

Persistent link: https://www.econbiz.de/10010749207

Inference in stochastic frontier analysis with dependent error terms

El Mehdi, Rachida; Hafner, Christian M. - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 104-116

bootstrap algorithm which is suitable for the dependence case. This allows us to estimate the efficiency percentile confidence …

Persistent link: https://www.econbiz.de/10010785223

Inference in stochastic frontier analysis with dependent error terms

El Mehdi, Rachida; Hafner, Christian M. - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 131-143

bootstrap algorithm which is suitable for the dependence case. This allows us to estimate the efficiency percentile confidence …

Persistent link: https://www.econbiz.de/10010870390

Burbea–Rao divergence based statistics for testing uniform association

Jiménez-Gamero, M.D.; Alba-Fernández, M.V.; … - In: Mathematics and Computers in Simulation (MATCOM) 99 (2014) C, pp. 1-18

distribution of the test statistic are studied: an estimation of the asymptotic null distribution and a bootstrap estimator. The …

Persistent link: https://www.econbiz.de/10011050218

Bootstrapping divergence statistics for testing homogeneity in multinomial populations

Alba-Fernández, V.; Jiménez-Gamero, M.D. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 12, pp. 3375-3384

to approximate it, the bootstrap. We show that the bootstrap yields a consistent distribution estimator. We also study by … simulation the finite sample performance of the bootstrap distribution and compare it with the asymptotic approximation. From the … simulations it can be concluded that it is worth calculating the bootstrap estimator, because it is more accurate than the …

Persistent link: https://www.econbiz.de/10011050843

Comparing distributions with bootstrap techniques: An application to global solar radiation

Mora, Juan; Mora-López, Llanos - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 4, pp. 811-819

requires the use of a smooth bootstrap procedure to compute critical values. The application of the similarity test to the …

Persistent link: https://www.econbiz.de/10011050895

Estimating Rao’s statistic distribution for testing uniform association in cross-classifications

Alba-Fernández, V.; Jiménez-Gamero, M.D. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 10, pp. 1978-1990

bootstrapping. We show that the bootstrap yields a consistent null distribution estimator. The finite sample performance of the … bootstrap estimator is studied by simulation. We also compare it empirically with the asymptotic null approximation. From the … simulations it can be concluded that it is worth calculating the bootstrap estimator, because it is more accurate than the …

Persistent link: https://www.econbiz.de/10011051057

Multiple forecasts with autoregressive time series models: case studies

Chan, W.S; Cheung, S.H; Wu, K.H - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 421-430

normality which are commonly encountered in business and economic time series. In this article, we explore the bootstrap methods … proposed bootstrap procedures, several macro-economic time series are selected for illustrative purposes. The selected series …

Persistent link: https://www.econbiz.de/10010748479

The mixed trunsored model with applications to SARS

Hirose, Hideo - In: Mathematics and Computers in Simulation (MATCOM) 74 (2007) 6, pp. 443-453

The trunsored model, which is a new incomplete data model regarded as a unified model of the censored and truncated models in lifetime analysis, can not only estimate the ratio of the fragile population to the mixed fragile and durable populations or the cured and fatal mixed populations, but...

Persistent link: https://www.econbiz.de/10010748733