Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and...

Likelihood-based cross-validation is a statistical tool for selecting a density estimate based on n i.i.d. observations from the true density among a collection of candidate density estimators. General examples are the selection of a model indexing a maximum likelihood estimator, and the...

Suppose that we observe a sample of independent and identically distributed realizations of a random variable. Assume that the parameter of interest can be defined as the minimizer, over a suitably defined parameter space, of the expectation (with respect to the distribution of the random...

Likelihood-based cross-validation is a statistical tool for selecting a density estimate based on n i.i.d. observations from the true density among a collection of candidate density estimators. General examples are the selection of a model indexing a maximum likelihood estimator, and the...

The distribution of impact factors has been modeled in the recent informetric literature using two-exponent law proposed by Mansilla et al. (2007). This paper shows that two distributions widely-used in economics, namely the Dagum and Singh-Maddala models, possess several advantages over the...

The selection problem among models for the seasonal behavior in time series is considered. The central decision of interest is between models with seasonal unit roots and with deterministic cycles. In multivariate models, also the number of stochastic seasonal factors is a discrete parameter of...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this useless factor in the model leads to a violation of the full rank...