A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive info...

The use of MP3 as a compression codec for Internet Telephony has become feasible in view of the latest developments in PC hardware and broadband Internet capacity. In this context, this paper examines the implementation details behind such an Internet telephone, measuring delay in the end hosts. A new approach to detecting and correcting audio skew is proposed and implemented, focusing on the a...

This note describes estimation algorithms for generalized hyperbolic hyperbolic and nor mal inverse Gaussian distributions These distributions provide a better t to empirically observed log return distributions of nancial assets than the classical normal distributions Based on the better t to the semi heavy tails of nancial assets we can compute more realistic Value at Risk estimates The modell...

We examine the problem of computing multivariate scenarios sets for skewed distributions. Our interest is motivated by the potential use of such sets in the stress testing of insurance companies and banks whose solvency is dependent on changes in a set of financial risk factors. We define multivariate scenario sets based on the notion of half-space depth (HD) and also introduce the notion of ex...

Abstract Multiple imputation is a commonly used approach to deal with missing values. In this approach, an imputer repeatedly imputes the missing values by taking draws from the posterior predictive distribution for the missing values conditional on the observed values, and releases these completed data sets to analysts. With each completed data set the analyst performs the analysis of interest...

This paper shows that the weighting coefficient matrices of the differential quadrature method (DQM) are centrosymmetric or skew-centrosymmetric if the grid spacings are symmetric irrespective of whether they are equal or unequal. A new skew centrosymmetric matrix is also discussed. The application of the properties of centrosymmetric and skew centrosymmetric matrix can reduce the computational...

Let $G*H$ be the product $*$ of $G$ and $H$. In this paper we determine the rth power of the graph $G*H$ in terms of $G^r, H^r$ and $G^r*H^r$, when $*$ is the join, Cartesian, symmetric difference, disjunctive, composition, skew and corona product. Then we solve the equation $(G*H)^r=G^r*H^r$. We also compute the Wiener index and Wiener polarity index of the skew product.