This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θ^n, its...

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(theta), where theta is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator theta_n,...

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(theta), where is a finite dimensional parameter. The main assumption is that the distribution of the maximum likelihood estimator theta_n, its bootstrap approximation, and the...

Typically survey data have responses with gaps, outliers and ties, and the distributions of the responses might be skewed. Usually, in small area estimation, predictive inference is done using a two-stage Bayesian model with normality at both levels (responses and area means).This is the...