We consider two higher order models for aggregate data on a finite state space. In the first model, aggregate data are obtained from N i.i.d. individuals who follow Mixture Transition Distribution (MTD) Markov model of lag l. In the second model, aggregate data are modeled as a MTD Markov model...

Using simulations, the paper shows that there is a trade-off in using CLS and 2SLS on the one hand and ML on the other when estimating the parameters of a bivariate threshold vector equilibrium correction model with regime-specific cointegration vectors.

One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims development. On contrary to the classical stochastic reserving...

When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt=Xt−1αVt, 0≤α1,t=1,2,… may give the preferred dependent structure. In this paper, we study the properties of such models and...