We consider the problem of estimating the volatility of a financial asset from a time series record of length T. We believe the underlying volatility process is smooth, possibly stationary, and with potential abrupt changes due to market news. By drawing parallels between time series and...

We consider Taylor's stochastic volatility model when the innovations of the hidden log-volatility process have a Laplace distribution (l1 exponential density), rather than the standard Gaussian distribution (l2) usually employed. Using a distribution with heavier tails allows better modeling of...

The aim of this investigation is to design a study which will take place in a particular hospital, to enquire if the recent breastfeeding campaign in this hospital has been successful. External sources and previous survey results are used to define the relevant features of the phenomena under...

This paper proposes a robust estimator for a general class of linear latent variable models (GLLVM) (Moustaki and Knott 2000, Bartholomew and Knott 1999). It is based on a weighted score function that is simple to implement numerically and is made consistent using the basic idea of indirect...

In this paper we investigate the robustness properties of the class of minimum power divergence estimators for grouped data. This class contains the classical maximum likelihood estimators for grouped data. We find that the bias of these estimators due to deviations from the assumed underlying...

In most health survey the state of health of individuals is measured through several different kinds of variables such as qualitative, discrete quantitative or dichotomic ones. From these variables, one aims at building univariate indices of health that summarize the information. To do so, we...