In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly ...

We discuss the prediction of a spatial variable of a multivariate mark composed of both dependent and explanatory variables. The marks are location-dependent and they are attached to a point process. We assume that the marks are assigned independently, conditionally on an unknown underlying parametric field. We compare (i) the classical non-parametric Nadaraya–Watson kernel estimator based on t...

Many systems experience recurrent events. Recurrence data are collected to analyze quantities of interest, such as the mean cumulative number of events or the mean cumulative cost of events. Methods of analysis are available for recurrence data with left and/or right censoring. Due to practical constraints, however, recurrence data are sometimes recorded only in windows with gaps between the wi...

This paper reflects the renascence of sensitivity and parametric analysis in linear programming and extends single-parametric results to the case when there are multiple parameters in the objective function and in the right-hand side of equations. Multiparametric approach enables us to study more complex perturbation occurring in linear programs than the simpler sensitivity analysis does. Inter...

We take an approach to specify and control implicitly dened n-dimensional free-form solid primitives using parametric functions of n variables. Outside of the domain, the parametric function value increases or decreases rapidly that is not suitable to design geometric objects. In this paper, we introduce a functional clipping operation which allows a free-form primitive to be treated as traditi...

The party package (Hothorn, Hornik, and Zeileis 2006) provides the function mob() implementing a recently suggested algorithm for model-based recursive partitioning (Zeileis, Hothorn, and Hornik 2005). The basic steps are: (1) fit a parametric model to a data set, (2) test for parameter instability over a set of partitioning variables, (3) if there is some overall parameter instability, split t...

We propose a novel method for generating broadband spontaneous parametric fluorescence by using a set of bulk nonlinear crystals (NLCs). We also demonstrate this scheme experimentally. Our method employs a superposition of spontaneous parametric fluorescence spectra generated using multiple bulk NLCs. A typical bandwidth of 160 nm (73 THz) with a degenerate wavelength of 808 nm was achieved usi...