DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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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: Forecasting aggregates and disaggregates with common features

Antoni Espasa and Iván Mayo

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

Rosa Elvira Lillo Rodríguez, Franco Pellerey, Juan Romo and Henry Laniado Rodas

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 Paula Palacios, Juan Miguel Marín Díazaraque, Emiliano Quinto and Michael Peter 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 García de la Fuente, Pedro Galeano and Michael Peter Wiper

2012: Bayesian estimation of inefficiency heterogeneity in stochastic frontier models

Jorge Galan, Helena Veiga and Michael Peter Wiper

2012: Spatial depth-based classification for functional data

Carlo Sguera, Pedro Galeano and Rosa Elvira Lillo Rodríguez

2012: On the identifiability of the two-state BMAP

Joanna Virginia Rodríguez César, Rosa Elvira Lillo Rodríguez 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: Comparisons among spacings from two populations

Nuria Torrado Robles and Rosa Elvira Lillo Rodríguez

2012: Asymmetric long-run effects in the oil industry

Sofia Ramos, Helena Veiga and Chih-Wei Wang

2012: Discriminant analysis of multivariate time series using wavelets

Elizabeth Ann Maharaj and Andrés Modesto Alonso Fernández

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 Rumín, Enrique M. Quilis and Antoni Espasa

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

Irene Albarrán Lozano, Juan Miguel Marín Díazaraque and Pablo Alonso González

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

Irene Albarrán Lozano, Pablo Alonso González and Aurea Grané Chávez

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 Eduardo Fresoli

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

Bernardo D'Auria and Spyridoula Kanta

2011: A Bayesian model for longitudinal circular data

Gabriel Núñez-Antonio and Eduardo Gutiérrez-Peña

2011: Beta-product Poisson-Dirichlet Processes

Federico Bassetti, Roberto Casarin and Fabrizio Leisen

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

Mónica Benito Bonito and María Rosario Romera Ayllón

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 Mancera, Daniel Peña and Ismael Sánchez

2011: Handwritten digit classification

Andrea Giuliodori, Rosa Elvira Lillo Rodríguez 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 de Miguel, Alberto Martín Utrera and Francisco J. Nogales

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

Santiago Velilla Cerdan 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 Peter Wiper and María Concepción Ausín Olivera

2011: On stochastic properties between some ordered random variables

Nuria Torrado Robles, Rosa Elvira Lillo Rodríguez and Michael Peter 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

2011: A short note on the monotonicity of the Erlang C formula in the Halfin-Whitt regime

Bernardo D'Auria

2010: Networks and collective action

Ramón Jesús Flores Díaz, Maurice Koster, Ines Lindner and Elisenda Molina

2010: Multiple hypothesis testing and clustering with mixtures of non-central t-distributions applied in microarray data analysis

Juan Miguel Marín Díazaraque and M. T. Rodríguez Bernal

2010: Comparing sample and plug-in moments in asymmetric Garch Models

Mª José Rodríguez and Esther Ruiz

2010: Two-sided reflection problem for the Markov modulated Brownian motion

Bernardo D'Auria, Offer Kella, Jevgenijs Ivanovs and Michel Mandjes

2010: First passage of a Markov additive process and generalized Jordan chains

Bernardo D'Auria, Offer Kella, Jevgenijs Ivanovs and Michel Mandjes

2010: A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

María Concepción Ausín Olivera, Pedro Galeano and Pulak Ghosh

2010: Ruin probabilities in a finite-horizon risk model with investment and reinsurance

Rosario Romera and Wolfgang Runggaldier

2010: Exponential conditional volatility models

Andrew Harvey

2010: Sensitivity and robustness in MDS configurations for mixed-type data: a study of the economic crisis impact on socially vulnerable Spanish people

Aurea Grané Chávez and Rosario Romera

2010: A semiparametric state space model

Andre Monteiro

2010: The percentile residual life up to time t0: ordering and aging properties

Alba María Franco Pereira, Rosa Elvira Lillo Rodríguez and Juan Romo

2010: Comparing quantile residual life functions by confidence bands

Alba María Franco Pereira, Rosa Elvira Lillo Rodríguez and Juan Romo

2010: Simplicial similarity and its application to hierarchical clustering

Ángel López and Juan Romo

2010: Multivariate extremality measure

Rosa Elvira Lillo Rodríguez, Juan Romo and Henry Laniado Rodas

2010: Bootstrap prediction intervals for VaR and ES in the context of GARCH models

María Rosa Nieto and Esther Ruiz

2010: Representing functional data in reproducing Kernel Hilbert Spaces with applications to clustering and classification

Javier González and Alberto Muñoz

2010: Characterization of bathtub distributions via percentile residual life functions

Alba María Franco Pereira, Rosa Elvira Lillo Rodríguez and Juan Romo

2010: Circular Bernstein polynomial distributions

José Antonio Carnicero, Michael Peter Wiper and María Concepción Ausín Olivera

2010: Bayesian hierarchical modelling of bacteria growth

Ana Paula Palacios, Juan Miguel Marín Díazaraque and Michael Peter Wiper

2010: The decreasing percentile residual life aging notion

Alba María Franco Pereira, Rosa Elvira Lillo Rodríguez and Moshe Shaked

2010: Multitarget tracking via restless bandit marginal productivity indices and Kalman Filter in discrete time

José Niño Mora and Sofía S. Villar

2010: Asymmetric effects of oil price fluctuations in international stock markets

Sofia Ramos and Helena Veiga

2010: An algebraic analysis using Matrix Padé Approximation to improve the choice of certain parameter in Scalar Component Models

Celina Pestano-Gabino, Concepción González-Concepción and María Candelaria Gil-Fariña

2010: Outliers in Garch models and the estimation of risk measures

Aurea Grané Chávez and Helena Veiga

2010: Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

Alejandro Rodriguez and Esther Ruiz

2010: Non-linear models of disability and age applied to census data

Irene Albarrán Lozano, Pablo Alonso González and Juan Miguel Marín Díazaraque