Efficient algorithms for computing the distribution function, (log-)density function and estimating parameters of multivariate normal variance mixtures are introduced. For evaluation randomized quasi-Monte Carlo (RQMC) methods utilized in a way that improves upon existing proposed special case t distributions. evaluating log-density an adaptive RQMC algorithm similarly exploits superior converg...

Animal robustness, or environmental sensitivity, may be studied through individual differences in residual variance. These differences appear to be heritable, and there is therefore a need to fit models having breeding values explaining differences in residual variance. The aim of this report is to study whether breeding value estimation for environmental sensitivity (vEBV) can be performed on ...

estimation of gold reserves and resources has been of interest to mining engineers and geologists for ages. the existence of outlier values shows the economic part of the deposits subject to the fact that don’t depend on the human or technical errors. the presence of these high values causes a pseudo dramatically increment in variance estimation of economical blocks when applying conventional m...

If we try to estimate the parameters of the AR process {Xn} using the observed process {Xn+Zn} then these estimates will be badly biased and not consistent but we can minimize the damage using a robust estimation procedure such as GM-estimation. The question is does additive contamination affect estimates of “core” parameters in the infinite variance case to the same extent that it does in the ...

This paper analyzes the S&P 500 index return variance dynamics and the variance risk premium by combining information in variance swap rates constructed from options and quadratic variation estimators constructed from tick data on S&P 500 index futures. Estimation shows that the index return variance jumps. The jump arrival rate is not constant over time, but is proportional to the variance rat...

Variance estimation is central to many questions in finance and economics. Until now ex-post variance estimation has been based on infill asymptotic assumptions that exploit high-frequency data. This paper offers a new exact finite sample approach to estimating ex-post variance using Bayesian nonparametric methods. In contrast to the classical counterpart, the proposed method exploits pooling o...