This paper surveys some common state space models used in macroeconomics and finance and shows how to specify and estimate these models using the SsfPack algorithms implemented in the S-PLUS module S+FinMetrics. Examples include recursive regression models, time varying parameter models, exact autoregressive moving average models and calculation of the Beveridge-Nelson decomposition, unobserved...

In this paper, the effect of non-normality on sampling plan using Yule’s model (second order auto regressive model {AR (2)}) represented by the Edgeworth series is studied for known $sigma$. The effect of using the normal theory sampling plan in a non-normal situation using Yule’s model is studied by obtaining the distorted errors of the first and second kind. As one will be interes...

Let μ be a compactly supported probability measure on R with expectation 1 and variance V. Let μn denote the n-time free multiplicative convolution of measure μ with itself. Then, for large n the length of the support of μn is asymptotically equivalent to eV n, where e is the base of natural logarithms, e = 2.71 . . . 1 Preliminaries and the main result First, let us recall the definition of th...

We present our practical experience in implementing an agent-based system for provision and selection of Grid services. The agents form a marketplace where services are offered and searched. Agents communicate semantic information about services using the Web service ontology (OWL-S). We describe our implementation that is built on Globus Toolkit 3 and utilizes the JADE agent framework and an o...

The Cox regression model is a cornerstone of modern survival analysis and is widely used in many other fields as well. But the Cox models with time-change covariates are not easy to understand or visualize. We therefore offer a simple and easy-to-understand interpretation of the (arbitrary) baseline hazard and time-change covariate. This interpretation also provides a way to simulate variables ...

MOTIVATION Our goal was to develop a normalization technique that yields results similar to cyclic loess normalization and with speed comparable to quantile normalization. RESULTS Fastlo yields normalized values similar to cyclic loess and quantile normalization and is fast; it is at least an order of magnitude faster than cyclic loess and approaches the speed of quantile normalization. Furth...

Ubiquitous systems require user to be dynamically and realtime informed in order to make his current activity increasingly easy. First, this paper presents and discusses a method to model the realtime interaction of the user with a ubiquitous system based on Petri-nets modelling technology. The goal deals with investigating dynamically the appropriate form of interaction depending on the contex...

There exist several simple representations of uncertainty that are easier to handle than more general ones. Among them are random sets, possibility distributions, probability intervals, and more recently Ferson’s p-boxes and Neumaier’s clouds. Both for theoretical and practical considerations, it is very useful to know whether one representation is equivalent to or can be approximated by other ...