VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three methods are expected to work even for non-stationary...

Künstliche Intelligenz (KI) wird in der Praxis zur Entscheidungsfindung eingesetzt (Lossos, Geschwill und Morelli 2021), zunehmend auch in der Versicherungsbranche. Dies erfordert jedoch Vertrauen in die verschiedenen KI-Methoden, speziell auch bei der Bewertung von Unternehmen ("Ratings")....

VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three methods are expected to work even for non-stationary...