Statistics and Econometrics Working Papers

from Universidad Carlos III, Departamento de Estadística y Econometría
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2013: Bayesian multivariate Bernstein polynomial density estimation

Yanyun Zhao, Concepción Ausín and Michael P. Wiper

2013: Multiperiod portfolio selection with transaction and market-impact costs

Víctor de Miguel, Xiaoling Mei and Francisco J. Nogales

2013: A new distance for data sets (and probability measures) in a RKHS context

Gabriel Martos

2013: Lasso variable selection in functional regression

Nicola Mingotti, Rosa E. Lillo and Juan Romo

2013: The Mahalanobis distance for functional data with applications to classification

Esdras Joseph, Pedro Galeano and Rosa E. Lillo

2013: One for all: nesting asymmetric stochastic volatility models

Xiuping Mao, Esther Ruiz and Helena Veiga

2013: A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection

Audrone Virbickaite, Concepción Ausín and Pedro Galeano

2013: Forecasting disaggregates by sectors and regions: the case of inflation in the euro area and Spain

Gabriel Pino, Juan de Dios Tena and Antoni Espasa

2013: Do happiness indexes truly reveal happiness?: measurin happiness using revealed preferences from migration flows

Helena Marques, Gabriel Pino and Juan de Dios Tena

2013: Predictability of stock market activity using Google search queries

Sofía B. Ramos, Helena Veiga and Pedro Latoeiro

2013: Correlations between oil and stock markets: a wavelet-based approach

Belén Martín-Barragán, Sofía B. Ramos and Helena Veiga

2013: Dependency evolution in Spanish disabled population: a functional data analysis approach

Irene Albarrán Lozano, Pablo Alonso González and Ana Arribas Gil

2013: Bayesian inference and data cloning in population projection matrices

J. de la Horra Navarro, J. Miguel Marín and M. T. Rodríguez Bernal

2013: Multivariate risk measures: a constructive approach based on selections

Ignacio Cascos and Ilya Molchanov

2012: Seasonal modulation mixed models for time series forecasting

Dae-Jin Lee and María Durbán

2012: Pyramidal values

Ramón Jesús Flores Díaz, Elisenda Molina and Juan Tejada

2012: More is not always better: back to the Kalman filter in dynamic factor models

Pilar Poncela and Esther Ruiz

2012: Sparse partial least squares in time series for macroeconomic forecasting

Julieta Fuentes, Pilar Poncela and Julio Rodríguez

2012: A vector of Dirichlet processes

Fabrizio Leisen, Antonio Lijoi and Dario Spanó

2012: Invariance properties of random vectors and stochastic processes based on the zonoid concept

Ilga Molchanov, Michael Schmutz and Kaspar Stucki

2012: A p-median problem with distance selection

Stefano Benati and Sergio García

2012: Portfolio selection through and extremality stochastic order

Henry Laniado, Rosa E. Lillo, Franco Pellerey and Juan Romo

2012: Closed queueing networks under congestion: non-bottleneck independence and bottleneck convergence

Jonatha Anselmi, Bernardo D'Auria and Neil Walton

2012: Bayesian modelling of bacterial growth for multiple populations

Ana P. Palacios, J. Miguel Marín, Emiliano Quinto and Michael P. Wiper

2012: National minimum wage and labour market outcomes of young workers

Jan Fidrmuc and Juan de Dios Tena

2012: Modeling financial time series with the skew slash distribution

Cristina G. de la Fuente, Pedro Galeano and Michael P. Wiper

2012: Bayesian estimation of inefficiency heterogeneity in stochastic frontier models

Jorge Eduardo Galan, Helena Veiga and Michael P. Wiper

2012: Spatial depth-based classification for functional data

Carlo Sguera, Pedro Galeano and Rosa E. Lillo

2012: On the identifiability of the two-state BMAP

Joanna Rodríguez, Rosa E. Lillo and Pepa Ramírez-Cobo

2012: Sensor scheduling for hunting elusive hiding targets: a restless bandit index policy

José Niño-Mora and Sofía S. Villar

2012: Discriminant analysis of multivariate time series using wavelets

Ann Elizabeth Maharaj and M. Andrés Alonso

2012: Asymmetric long-run effects in the oil industry

Sofia Brito Ramos, Helena Veiga and Chih-Wei Wang

2011: Robust Henderson III estimators of variance components in the nested error model

Betsabé Pérez, Daniel Peña and Isabel Molina

2011: Combining benchmarking and chain-linking for short-term regional forecasting

Ángel Cuevas, Enrique M. Quilis and Antoni Espasa

2011: Forecasting aggregate and disaggregates with common features

Espasa Antoni and Mayo Iván

2011: Why using a general model in Solvency II is not a good idea: an explanation from a Bayesian point of view

Irene Albarrán, J. Miguel Marín and Pablo Alonso González

2011: Profile identification via weighted related metric scaling: an application to dependent Spanish children

Irene Albarrán, Pablo Alonso González and Aurea Grané

2011: Hypothesis testing in a generic nesting framework with general population distributions

Nirian Martín and Narayanaswami Balakrishnan

2011: Bootstrap forecast of multivariate VAR models without using the backward representation

Lorenzo Pascual, Esther Ruiz and Diego Fresoli

2011: Equilibrium strategies in a tandem queue under various levels of information

Bernardo D'Auria and Spyridula Kanta

2011: A Bayesian model for longitudinal circular data

Gabriel Núñez-Antonio and Eduardo Gutiérrez-Peña

2011: Limiting behavior of the search cost distribution for the move-to-front rule in the stable case

Fabrizio Leisen, Antonio Lijoi and Christian Paroissin

2011: Free completely random measures

Francesca Collet and Fabrizio Leisen

2011: Forecasting volatility: does continuous time do better than discrete time?

Carles Bretó and Helena Veiga

2011: The international stock pollutant control: a stochastic formulation with transfers

Omar J. Casas and Rosario Romera

2011: Mixtures of g-priors for bayesian model averaging with economic applications

Eduardo Ley and Mark Steel

2011: Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence

Monica Benito and Rosario Romera

2011: Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems

Carles Bretó and Edward L. Ionides

2011: Densidad de predicción basada en momentos condicionados y máxima entropía: aplicación a la predicción de potencia eólica

Miguel Ángel Bermejo, Daniel Peña and Ismael Sánchez

2011: Handwritten digit classification

Andrea Giuliodori, Rosa Lillo and Daniel Peña

2011: Exploring ICA for time series decomposition

Antonio García Ferrer, Ester González Prieto and Daniel Peña

2011: Calibration of shrinkage estimators for portfolio optimization

Victor DeMiguel, Alberto Martín Utrera and Francisco J. Nogales

2011: A basic goodness-of-fit process fro VARMA (p,q) models

Santiago Velilla and Huong Nguyen

2011: Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts

Bernardo D'Auria and Offer Kella

2011: A vehicle routing model with split delivery and stop nodes

Leonardo Berbotto, Sergio García and Francisco J. Nogales

2011: Non-parametric methods for circular-circular and circular-linear

José Antonio Carnicero, Michael P. Wiper and Concepción Ausín

2011: On stochastic properties between some ordered random variables

Nuria Torrado, Rosa E. Lillo and Michael P. Wiper

2011: Interacting multiple -- Try algorithms with different proposal distributions

Roberto Casarin, Radu Craiu and Fabrizio Leisen

2011: Change point for multinomial data using phi-divergence test statistics

Apostolos Batsidis, Nirian Martín, Leandro Pardo and Konstantinos Zografos