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Statements

Subject Item
n2:RIV%2F00216275%3A25410%2F11%3A39894562%21RIV13-GA0-25410___
rdf:type
n5:Vysledek skos:Concept
dcterms:description
The main limitation of many statistical methods consists in the fact that they usually require fulfilments of many different assumptions that cannot often be verified. This problem arises frequently at the time series, too. In this case it is helpful to use bootstrap methods. This paper deals with the application of the bias reduced bootstrap method to the Box-Jenkins methodology. Several methods of nonparametric bootstrap for a bias reduced estimate of the autoregressive parameters ? of AR(1) and AR(2) are presented in this paper: model oriented bootstrap, overlapping moving blocks and not-overlapping moving blocks. A comparison of the results of the classical and resampling methods is performed for the premium written time series. The main limitation of many statistical methods consists in the fact that they usually require fulfilments of many different assumptions that cannot often be verified. This problem arises frequently at the time series, too. In this case it is helpful to use bootstrap methods. This paper deals with the application of the bias reduced bootstrap method to the Box-Jenkins methodology. Several methods of nonparametric bootstrap for a bias reduced estimate of the autoregressive parameters ? of AR(1) and AR(2) are presented in this paper: model oriented bootstrap, overlapping moving blocks and not-overlapping moving blocks. A comparison of the results of the classical and resampling methods is performed for the premium written time series.
dcterms:title
Modelling of the development of the selected indicators of the insurance market Modelling of the development of the selected indicators of the insurance market
skos:prefLabel
Modelling of the development of the selected indicators of the insurance market Modelling of the development of the selected indicators of the insurance market
skos:notation
RIV/00216275:25410/11:39894562!RIV13-GA0-25410___
n5:predkladatel
n17:orjk%3A25410
n3:aktivita
n16:P
n3:aktivity
P(GA402/09/1866)
n3:cisloPeriodika
249-252
n3:dodaniDat
n7:2013
n3:domaciTvurceVysledku
n18:1657445 n18:4031105
n3:druhVysledku
n14:J
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n15:predkladatel
n3:idSjednocenehoVysledku
213117
n3:idVysledku
RIV/00216275:25410/11:39894562
n3:jazykVysledku
n11:eng
n3:klicovaSlova
Insurance, financial covering of the risk, parameters estimate, bootstrap method, autoregressive models, overlapping moving blocks, not overlapping moving blocks, extrapolation.
n3:klicoveSlovo
n4:financial%20covering%20of%20the%20risk n4:overlapping%20moving%20blocks n4:not%20overlapping%20moving%20blocks n4:bootstrap%20method n4:parameters%20estimate n4:Insurance n4:extrapolation. n4:autoregressive%20models
n3:kodStatuVydavatele
IN - Indická republika
n3:kontrolniKodProRIV
[236E6CD2F576]
n3:nazevZdroje
Calcutta Statistical Association bulletin
n3:obor
n8:BB
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n12:GA402%2F09%2F1866
n3:rokUplatneniVysledku
n7:2011
n3:svazekPeriodika
63
n3:tvurceVysledku
Linda, Bohdan Kubanová, Jana
s:issn
0008-0683
s:numberOfPages
15
n10:organizacniJednotka
25410