DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2002: Pseudo-maximum likelihood estimation of a dynamic structural investment model

Rocío Sánchez Mangas

2002: Recursive estimation o dynamic models using cook's distance,with application to wind energy orecast

Ismael Sánchez

2002: Estimation methods for stochastic volatility models: a survey

Carmen Broto and Esther Ruiz

2002: Singular random matrix decompositions: distributions

José A. Díaz García and Graciela González Farías

2002: Singular random matrix decompositions: Jacobians

José A. Díaz García and Graciela González Farías

2002: On the consistency and robustness properties of linear discriminant analysis

Santiago Velilla Cerdan and Adolfo Hernández

2002: Another look at the estimation of dynamic programming models with censored decision variables

Rocío Sánchez Mangas

2002: Macroeconomic forecasts for the euro-zone and some policy implications

Antoni Espasa, Rebeca Albacete, Román Mínguez and Eva Senra

2002: Active redundancy allocation in systems

María Rosario Romera Ayllón, José Valdés and R. Zequeira

2002: Bayesian inference for fault based software reliability models given software metrics data

María Teresa Rodríguez Bernal and Michael Peter Wiper

2002: Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis

Antoni Espasa, Pilar Poncela and Eva Senra

2001: GMM estimation of a production function with panel data: an application to Spanish manufacturing firms

César Alonso-Borrego and Rocío Sánchez Mangas

2001: Dimension reduction transformations in discriminant analysis

Santiago Velilla Cerdan and Adolfo Hernández

2001: Asymmetric long memory GARCH: a reply to Hwang's model

Esther Ruiz and Ana Pérez

2001: Bayesian inference and prediction for the GI/M/1 queueing system

María Concepción Ausín Olivera, Rosa Elvira Lillo Rodríguez and Michael Peter Wiper

2001: Dimension reduction in nonparametric discriminant analysis

Adolfo Hernández and Santiago Velilla Cerdan

2001: Innovation and job creation and destruction: evidence from Spain

César Alonso-Borrego and M. Dolores Collado

2001: Forecast of the expected non-epidemic morbidity of acute diseases using resampling methods

Andrés Modesto Alonso Fernández and Juan Romo

2001: Estimation of a dynamic discrete choice model of irreversible investment

Rocío Sánchez Mangas

2001: Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors

Antoni Espasa, Eva Senra and Rebeca Albacete

2001: On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach

David Veredas, Juan M. Rodríguez Poo and Antoni Espasa

2001: Optimal control of partially observable linear quadratic systems with asymmetric observation errors

Rosario Romera

2001: Bayesian estimation for the M/G/1 queue using a phase type approximation

María Concepción Ausín Olivera, Michael Peter Wiper and Rosa Elvira Lillo Rodríguez

2001: Bayesian robustness of the posterior predictive p-value

J. de la Horra Navarro and M. T. Rodríguez Bernal

2001: Coherence of the posterior predictive p-value based on the posterior odds

J. de la Horra Navarro and M. T. Rodríguez Bernal

2001: Multivariate analysis in vector time series

Pedro Galeano and Daniel Peña

2001: Bayesian inference for a software reliability model using metrics information

Michael Peter Wiper and María Teresa Rodríguez Bernal

2001: A proposal for a new dimension analysis procedure in a general regression problem

Santiago Velilla Cerdan and Mª Pilar Barrios

2001: Prediction of stocks: a new way to look at it

Jens Pech Nielsen and Stefan Sperlich

2001: Semiparametric models and P-splines

Currie, I., and Durbán, M.,

2001: Weather modelling using a multivariate latent Gaussian model

María Durbán and C.A. Glasbey

2001: Is stochastic volatility more flexible than garch?

M. Angeles Carnero, Daniel Peña and Esther Ruiz

2001: Introducing model uncertainty in time series bootstrap

Andrés Modesto Alonso Fernández, Daniel Peña and Juan Romo

2001: Outliers and conditional autoregressive heteroscedasticity in time series

M. Angeles Carnero, Daniel Peña and Esther Ruiz

2001: Properties of the sample autocorrelations in autoregressive stochastic volatllity models

Ana Pérez and Esther Ruiz

2001: New in-sample prediction errors in time series with applications

Daniel Peña and Ismael Sánchez

2001: A decomposition procedure based on approximate newton directions

Antonio J. Conejo, Francisco Javier Nogales Martín and Francisco Javier Prieto Fernández

2001: Bootstrap prediction intervals for power-transformed time series

Lorenzo Pascual, Juan Romo and Esther Ruiz

2001: Explicit nonparametric confidence intervals for the variance with guaranteed coverage

Joseph P. Romano and Michael Wolf

2001: Improved nonparametric confidence intervals in time series regressions

Joseph P. Romano and Michael Wolf

2000: Forecasting monetary union inflation: a disaggregated approach by countries and by sectors

Antoni Espasa, Eva Senra and Rebeca Albacete

2000: Outliers robust ECM cointegration test based on the trend components

Miguel A. Arranz and Alvaro Escribano

2000: A powerful portmanteau test of lack of fit for time series

Daniel Peña and Julio Rodríguez

2000: Spectral density estimators at frequency zero for nonstationarity tests in arma models

Ismael Sánchez

2000: Efficient tests for unit roots with prediction errors

Ismael Sánchez

2000: Combining search directions using gradient flows

Javier M. Moguerza and Francisco J. Prieto

2000: Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator

Miguel Delgado, Juan M. Rodríguez Poo and Michael Wolf

2000: Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit and Michael Wolf

2000: A well conditioned estimator for large dimensional covariance matrices

Olivier Ledoit and Michael Wolf

2000: Derivative estimation and testing in generalized additive models

Lijian Yang, Stefan Sperlich and Wolfgang Härdle

2000: Bootstrap inference in semiparametric generalized additive models

Wolfgang Hardle, Sylvie Huet, Enno Mammen and Stefan Sperlich

2000: Semiparametric estimation of weak and strong separable models

Juan M. Rodriguez Poo, Stefan Sperlich and Philippe Vieu

2000: Descriptive measures of multivariate scatter and linear dependence

Daniel Peña and Julio Rodríguez

2000: Some remarks on estimating a covariance structure model from a sample correlation matrix

Alberto Maydeu Olivares and Adolfo Hernández Estrada

2000: Existence and computation of a Cournot-Walras equilibrium

Mercedes Esteban-Bravo

2000: Existence and computation of a GEI equilibrium

Mercedes Esteban-Bravo

2000: A model free cointegration approach for pairs of I(d) variables

Felipe M. Aparicio, Miguel A. Arranz and Alvaro Escribano

2000: Forecasting with nostationary dynamic factor models

Daniel Peña and Pilar Poncela

2000: Resampling time series by missing values techniques

Andrés Modesto Alonso Fernández, Daniel Peña and Juan Romo

2000: An interview to George Box

Daniel Peña

2000: Syncronicity between macroeconomic time series: an exploratory analysis

Felipe M. Aparicio, Alvaro Escribano and Ana García

2000: Pareto optimality in multiobjective Markov control processes

Onésimo Hernández-Lerma and Rosario Romera

2000: Stochastic comparisons of nonhomogeneous processes

Félix Belzunce, Rosa Elvira Lillo Rodríguez, José M. Ruiz and Moshe Shaked

2000: Characterizations involving conditional expectations based on a functional derivative approach

Rosa Elvira Lillo Rodríguez and Miguel Martín

2000: Structural tests in additive regression

Wolfgang Hardle, Stefan Sperlich and Vladimir Spokoiny

2000: Preservation of some stochastic orders by order statistics

Rosa Elvira Lillo Rodríguez, Asok K. Nanda and Moshe Shaked

2000: Note on characterization problem of Nagaraja and Nevzorov

Rosa Elvira Lillo Rodríguez

2000: Forecasting time series with sieve bootstrap

Andrés Modesto Alonso Fernández, Daniel Peña and Juan Romo

2000: Identifiability of differentiable bayes estimators of the uniform scale parameter

Rosa Elvira Lillo Rodríguez

2000: Forecasting returns and volatilities in GARCH processes using the bootstrap

Lorenzo Pascual, Juan Romo and Esther Ruiz

2000: Notes on time serie analysis, ARIMA models and signal extraction

Regina Kaiser Remiro and Agustín Maravall

2000: An application of tramo-seats: changes in seasonality and current trend-cycle assesment: the german retail trade turnover series

Regina Kaiser Remiro and Agustín Maravall