It is important for portfolio manager to estimate and analyze the recent portfolio volatility to keep portfolio's risk within limit. Though number of financial instruments in the portfolio are very large, some times more than thousands, however daily returns considered for analysis is only for a...

In this paper we define a generalized multivariate gamma (MG) distribution and develop various properties of this distribution. Then we consider a Bayesian decision theoretic approach to develop the inference technique for the related scale matrix [Sigma]. We show that maximum posteriori (MAP)...

Abstract Public policy relies strongly upon expert opinion, especially in risk assessment for rare events. But expert opinion is often inconsistent, both within and between experts. We therefore develop a statistical model for the elicited opinions, and use that to borrow strength across the...

We consider the problem of statistical inference of binomial proportions for non-matched, correlated samples, under the Bayesian framework. Such inference can arise when the same group is observed a different number of times on two or more inference occasions, with the aim of testing the...