The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments....

In this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's empirical...

We study the problem of classi¯cation for multivariate repeated measures data with struc- tured correlations on both time and spatial repeated measurements. This is a very important problem in many biomedical as well as in engineering ¯eld. Classi¯cation rules as well as the algorithm to...

This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...

This paper develops optimal estimation of a potentially nondifferentiable functional Г(β) of a regular parameter β, when Г satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...

El presente documento analiza un modelo macroeconométrico de corto plazo para la economía colombiana, con el fin de evaluar el impacto de procesos de ajuste y estabilización. Se basa en una estructura que reconoce no neutralidades por rigideces de precios y descompone la economía a través...

Although the histogram is the most widely used density estimator, it is well--known that the appearance of a constructed histogram for a given bin width can change markedly for different choices of anchor position. In this paper we construct a stability index $G$ that assesses the potential...

Statistical computing when input/output is driven by a Graphical User Interface is considered. A proposal is made for automatic control of computational flow to ensure that only strictly required computations are actually carried on. The computational flow is modeled by a directed graph for...

This paper proposes to use a semi parametric regression method, named Sliced Inverse Regression (SIR hereafter), to analyse ambulatory blood pressure monitoring data.