Two sided analysis of variance with a latent time series

Lars Hougaard Hansen, Bent Nielsen and Jens Perch Nielsen
Additional contact information
Lars Hougaard Hansen: University of Copenhagen and Codan forsikring
Jens Perch Nielsen: Codan forsikring

No 2004-W25, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Many real life regression problems exhibit some kind of calender time dependency and it is often of interest to predict the behavior of the regression function along this calender time direction. This can be formulated as a regression model with an added latent time series and the task is to be able to analyse this series. In this paper we engage this through a two step procedure, firstly we treat the time dependent elements as parameters and estimate them in the two-sided analysis of variance setup, secondly we use the estimated time series as predictor of the latent time series. An application to risk theory is discussed.

Keywords: regression; time series; risk theory (search for similar items in EconPapers)
Pages: 12 pages
Date: 2004-10-18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.nuff.ox.ac.uk/economics/papers/2004/w25/latent.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0425

Access Statistics for this paper

More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().