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Estimating Exceedance Probalities In Higher-Dimensional Space.

De Haan, L. - Econometrisch Instituut, Faculteit der Economische … - 1993

Persistent link: https://www.econbiz.de/10005625226

Measurement from a System Theoretic Perspective.

Heij, C. - Econometrisch Instituut, Faculteit der Economische … - 1994

Persistent link: https://www.econbiz.de/10005625227

Optimal Replacement Strategies for Repairable Systems Modelled by Piecewise-Deterministic Morkov Processes.

Boshuizen, F.A. - Econometrisch Instituut, Faculteit der Economische … - 1994

Persistent link: https://www.econbiz.de/10005625229

Noise Minimization in Factor Models.

Heij, C.; Roorda, B. - Econometrisch Instituut, Faculteit der Economische … - 1994

Persistent link: https://www.econbiz.de/10005625230

On l2-Optimal Approximate Modelling of Vector Time Series.

Roorda, B.; Heij, C.H. - Econometrisch Instituut, Faculteit der Economische … - 1992

Persistent link: https://www.econbiz.de/10005625231

Monitoring Structural Change in Variance, with an Application to European Nominal Exchange Rate Volatility.

Carsoule, F.; Franses, P.H. - Econometrisch Instituut, Faculteit der Economische … - 1999

In this paper we propose a sequential testing approach for a structural change in the variance of a time series, which amounts to a procedure with a controlled asymptotic size as we repeat the test. Our approach builds on that taken in Chu, Stinchcombe and White (1996) for structural change in...

Persistent link: https://www.econbiz.de/10005625232