In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years. We use our method to determine an overall winner...

In this paper we present a multivariate analysis of the Federal Reserve’s forecasts. First, we use existing univariate methods to evaluate each of the Fed’s forecasts of the ten major expenditure categories of real GDP which have not previously been evaluated in the literature. Second, we...

We describe existing and potential financial applications of the Mahalanobis distance. After a short motivation and a discussion of important properties of this multivariate distance measure, we classify its applications in finance according to the source and nature of its input parameters....

<Para ID="Par1">A method for robust estimation of dynamic mixtures of multivariate distributions is proposed. The EM algorithm is modified by replacing the classical M-step with high breakdown S-estimation of location and scatter, performed by using the bisquare multivariate S-estimator. Estimates are obtained...</para>

Purpose – The purpose of this paper is to develop an unsupervised classification algorithm including feature selection for industrial product classification with the basic philosophy of a supervised Mahalanobis‐Taguchi System (MTS). Design/methodology/approach – Two novel unsupervised...

Purpose – The purpose of this paper is to present and analyze the current literature related to developing and improving the Mahalanobis-Taguchi system (MTS) and to present the shortcomings related to this method for future research. Design/methodology/approach – In this paper, articles in...

Purpose The purpose of this paper is to develop a new easy-to-implement distribution-free integrated multivariate statistical process control (MSPC) approach with an ability to recognize out-of-control points, identify the key influential variable for the out-of-control state, and determine...

Purpose – The purpose of this paper is to propose a modified Importance-Performance Analysis (IPA) model and calculates the performance of quality characteristic for the purpose of defining quality improvement strategy. Design/methodology/approach – This study developed modified IPA by...

Financial conditions indexes (FCIs) are constructed for five Asian economies, namely, Hong Kong, China; Japan; the Republic of Korea; Malaysia; and Singapore, using a principal component analysis (PCA) methodology from Hatzius et al. (2010) and quarterly data. Various financial stress indicators are...