We use the Cox process (or a doubly stochastic Poisson process) to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic...

This article is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such...

In times of ever increasing financial constraints on public weather services it is of growing importance to communicate the value of their forecasts and products. While many diagnostic tools exist to evaluate forecast systems, intuitive diagnostics for communicating the skill of probabilistic...

This edited volume features cutting-edge topics from the leading researchers in the areas of latent variable modeling. Content highlights include coverage of approaches dealing with missing values, semi-parametric estimation, robust analysis, hierarchical data, factor scores, multi-group...

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, β, between the integration order δ of observable time series and the integration order γ of cointegrating errors is less than 0.5. This includes circumstances when observables are stationary or...

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics and are...

Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short-memory series γ=0 automatically. The latter case has also been stressed under long memory, along with the “fractional...

This article proposes goodness-of-fit tests for dynamic regression models, where regressors are allowed to be only weakly exogenous and arbitrarily correlated with past shocks. The null hypothesis is stated in terms of the lack of serial correlation of the errors of the model. The tests are...

The recent surge in studies analysing spatial dependence in political science has gone hand-in-hand with increased attention paid to the choice of estimation technique. In comparison, specification choice has been relatively neglected, even though it leads to equally, if not more, serious...

Ensemble prediction systems aim to account for uncertainties of initial conditions and model error. Ensemble forecasting is sometimes viewed as a method of obtaining (objective) probabilistic forecasts. How is one to judge the quality of an ensemble at forecasting a system? The probability that...