In this paper a series representation of the joint density and the joint distribution of a quadratic form and a linear form in normal variables is developed. The expansion makes use of Laguerre polynomials. As an example the calculation of the joint distribution of the mean and the sample...

The purpose of this paper is to jointly monitor the mean vector and the covariance matrix of multivariate nonlinear times series. The underlying target process is assumed to be a constant conditional correlation process Bollerslev (Rev Econ Stat 72:498–505, <CitationRef CitationID="CR5">1990</CitationRef>) or a dynamic conditional...</citationref>

The production of wind power as one source of renewable energy has a huge potential to serve the increasing demand for energy. Therefore, it is necessary to improve the accuracy of wind energy forecasts to increase the energy output. We focus on short-term wind speed forecasts. This article...

Linear mixed effects models have been widely used in the spatial analysis of environmental processes. However, parameter estimation and spatial predictions involve the inversion and determinant of the n times n dimensional spatial covariance matrix of the data process, with n being the number of...

In this paper we study the problem of the optimal portfolio selection with transaction costs for a decision-maker who is faced with Knightian uncertainty. The decision-maker's portfolio consists of one risky and one risk-free asset, and we assume that the transaction costs are proportional to...

The paper discusses finite sample properties of optimal portfolio weights, estimated expected portfolio return, and portfolio variance. The first estimator assumes the asset returns to be independent, while the second takes them to be predictable using a linear regression model. The third and...