This thesis is mainly concerned with the estimation of parameters of a first-order Smooth Threshold Autoregressive (STAR) model with delay parameter one. The estimation procedures include classical and Bayesian methods from a parametric and a semiparametric point of view.As the theoretical...

Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the　instantaneous short-term interest rate, asset prices, asset returns and their volatility.　The explanatory and/or predictive...

The Weibull distribution, an extreme value distribution, is frequently used to model survival, reliability, wind speed, and other data. One reason for this is its flexibility; it can mimic various distributions like the exponential or normal. The two-parameter Weibull has a shape (gamma) and...

The beta distribution is useful in modeling continuous random variables that lie between 0 and 1, such as proportions and percentages. The beta distribution takes on many different shapes and may be described by two shape parameters, alpha and beta, that can be difficult to estimate. Maximum...

The digitization of a circular arc causes an inherent loss of geometrical information. Arcs with slightly different local curvature or position may lead to exactly the same digital pattern. In this paper we give a characterization of all centers and radii of circular arcs yielding the same...

The aim of this article is to (a) reexamine the nature of structural equation modeling (SEM) estimates of autoregressive moving average (ARMA) parameters; (b) replicate S. Van Buuren's simulation experiment in light of P. C. M. Molenaar's comment; and (c) examine the behavior of the...

The main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of...

State estimation plays an important role in modern power systems. The errors in the telemetered measurements and the connectivity information of the network will greatly contaminate the estimated system state. This dissertation provides solutions to suppress the influences of these errors. A...

Mathematical modeling is a key component of various disciplines in science andengineering. A mathematical model which represents important behavior of a realsystem can be used as a substitute for the real process for many analysis and synthesistasks. The performance of model based techniques,...

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based...