We introduced a random vector (X,N), where N has Poisson distribution and X are minimum of N independent and identically distributed exponential random variables. We present fundamental properties of this vector such as PDF, CDF and stochastic representations. Our results include explicit...

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach di®ers from the literature to date because we construct a bootstrap...

In real time forecasting, the sample is usually split into an estimation period of R observations and a prediction period of P observations, where T=R+P. Parameters are often estimated in a recursive manner, initially using R observations, then R+1 observations and so on until T-1 observations...

This paper proposes the use of a new Measure–Correlate–Predict (MCP) method to estimate the long-term wind speed characteristics at a potential wind energy conversion site. The proposed method uses the probability density function of the wind speed at a candidate site conditioned to the wind...

This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples...