Articoli Open Access - Statistica & applicazioni

In this paper, we estimate aversion to rank inequality (ATRI) underlying selected Italian income inequality indices, I, notably the Pietra index, the Bonferroni index and the “new” Zenga index. We measure ATRI by the parameter v of the generalised Gini index G(v). ATRI is distinct from aversion to income inequality, as measured by parameter ε of Atkinson’s index A(ε). We propose eliciting v from the equation I = GE(v)...

We describe a model-free, fully data-driven approach to simulating random draws from a continuous multivariate distribution. The proposed technique is an extension of the smoothed bootstrap which explicitly accounts for local differences in the dispersion of individual data points in the sample. Results from a number of simulation experiments suggest that in many cases, the procedure presented strikes a favourable balance between the conflicting objectives of adequately reflecting key characteristics of the underlying distributions and smoothing out the gaps between the individual data points in the sample...

The most common method for studying historical data is to use regression methods and predictive modeling on time series data. The parametric methodology for time series data analysis is a customary method when the data are available on a continuous scale. However, most of the time, the data availability may be on a categorical or ordinal scale. Hence, the nonparametric methodology is more rational in handling time series data. This study considers two prominent non-parametric methods, namely Pettitt’s test and Buishand’s range test...

Vector autoregressive (VAR) model is the most popular modeling tool in macroeconomics. This study considers a Bayesian framework for VAR(k) model with a structural break in the mean. The structural change problem in VAR is of theoretical and practical importance in reference to the economic time series data...

The financial literature proposed many contributions to measure the credit risk, in this work a survival approach is proposed to reach this purpose. Having available the survival times for each credit line, the choice was oriented to survival models to evaluate the pathological death of the loan...