This paper focuses on providing consistent forecasts for an aggregate economic indicator, such as a consumer price index, and all its components, and on showing that the indirect forecast of the aggregate is at least as accurate as the direct forecast. The procedure developed is a disaggregated...

Shrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of...

In this paper, we apply independent component analysis (ICA) for prediction and signal extraction in multivariate time series data. We compare the performance of three different ICA procedures, JADE, SOBI, and FOTBI that estimate the components exploiting either the non-Gaussianity, or the...

Pattern recognition is one of the major challenges in statistics framework. Its goal is the feature extraction to classify the patterns into categories. A well-known example in this field is the handwritten digit recognition where digits have to be assigned into one of the 10 classes using some...

In this paper we propose a methodology to estimate and forecast the GDP of the different regions of a country, providing quarterly profiles paper offers a new instrument for short degree of synchronicity among regional business cycles. Technically, we combine time series models with benchma...

Disability and dependency (lack of autonomy in performing common everyday actions) affect health status and quality of life, therefore they are significant public health issues. The main purpose of this study is to establish the existing relationship among different variables (continuous,...

The passing of Directive 2009/138/CE (Solvency II) has opened a new era in the European insurance market. According to this new regulatory environment, the volume of own resources will be determined depending on the risks that any insurer would be holding. So, nowadays, the model to estimate the...

Common methods for estimating variance components in Linear Mixed Models include Maximum Likelihood (ML) and Restricted Maximum Likelihood (REML). These methods are based on the strong assumption of multivariate normal distribution and it is well know that they are very sensitive to outlying...

Free probability is a noncommutative probability theory introduced by Voiculescu where the concept of independence of classical probability is replaced by the concept of freeness. An important connection between free and classical infinite divisibility was established by Bercovici and Pata...

The analysis of short longitudinal series of circular data may be problematic and to some extent has not been completely developed. In this paper we present a Bayesian analysis of a model for such data. The model is based on a radial projection onto the circle of a particular bivariate normal...