scholarly journals Precise Asymptotics in the Law of Iterated Logarithm for Moving Average Process under Dependence

2011 ◽  
Vol 2011 (1) ◽  
pp. 320932
Author(s):  
Jie Li
2020 ◽  
pp. 1-22
Author(s):  
Luis E. Nieto-Barajas ◽  
Rodrigo S. Targino

ABSTRACT We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is based on a gamma process with a moving average form of order $p \ge 0$ which is achieved through the use of poisson latent variables. We carry out Bayesian inference on model parameters and borrow strength across several triangles, coming from different lines of businesses or companies, through the use of hierarchical priors. We carry out a simulation study as well as a real data analysis. Results show that reserve estimates, for the real data set studied, are more accurate with our gamma dependence model as compared to the benchmark over-dispersed poisson that assumes independence.


2004 ◽  
Vol 35 (2) ◽  
pp. 165-174 ◽  
Author(s):  
Hafzullah Aksoy ◽  
Tanju Akar ◽  
N. Erdem Ünal

Wavelets, functions with zero mean and finite variance, have recently been found to be appropriate tools in investigating geophysical, hydrological, meteorological, and environmental processes. In this study, a wavelet-based modeling technique is presented for suspended sediment discharge time series. The model generates synthetic series statistically similar to the observed data. In the model in which the Haar wavelet is used, the available data are decomposed into detail functions. By choosing randomly from among the detail functions, synthetic suspended sediment discharge series are composed. Results are compared with those obtained from a moving-average process fitted to the data set.


2014 ◽  
Vol 53 (10) ◽  
pp. B254 ◽  
Author(s):  
Jakub Ślęzak ◽  
Sławomir Drobczyński ◽  
Karina Weron ◽  
Jan Masajada

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