We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These...

When insurance claims are governed by fat-tailed distributions, gross uncertainty about the value of the tail-fatness index is virtually inescapable. In this paper a new premium principle (the power principle) analogous to the exponential principle for thin-tailed claims, is discussed. Pareto...

It is well known that confidence intervals for weakly identified parameters are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Staiger and Stock, Econometrica 65, pp. 557-586), and that the asymptotic risk of their estimators is unbounded (Pötscher,...

This paper proposes neural network based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely on nonparametric estimation of densities...

Sri Lanka liberalised its economy in 1977, paving the way for more rapid economic growth and higher rates of job creation. But tensions over distributional issues still plague the body politic. This paper investigates the evolution of Sri Lanka's income distribution in the period 1980-2002 and...

The segmentation problem arises in many applications in data mining, A.I. and statistics. In this paper, we consider segmenting simple time series. We develop two Bayesian approaches for segmenting a time series, namely the Bayes Factor approach, and the Minimum Message Length (MML) approach. We...

Data for discrete ordered random variables are often characterised by "excessive" zero observations. Traditional ordered probit models have limited capacity in explaining the preponderance of zero observations, especially when the zeros may relate to two distinct situations of non-participation...

When the unobservable Markov chain in a hidden Markov model is stationary the marginal distribution of the observations is a finite mixture with the number of terms equal to the number of the states of the Markov chain. This suggests estimating the number of states of the unobservable Markov...

The aim of this paper is to examine the measurement of persistence in a range of time series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time series which, in addition to accommodating the standard I(0) and...