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Bayesowska analiza przestrzennego zróżnicowania umieralności według przyczyn w Polsce

100%
Knapik O.
Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego
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2011
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vol. 2
|
issue 3
99-115
EN
The aim of the paper is to determine the homogenous areas of the mortality by main causes of death in Poland. It is followed by the hypothesis that the mortality of given population not only depends on its demographic structure, but it is the result of the environmental conditions as well. We consider the mortality classified by age, sex and cause of deaths observed by territorial units in Poland. The work consists of two parts: the descriptive and the analytical ones. The descriptive part rely on demonstration and evaluation of the differences in demographic structures of the populations and of environmental features of each of the territorial units. In the analytical step, the methods of data analysis enriched by Bayesian approach are applied (see F. Divino V. Egidi M. A. Salvatore, Geographical mortality patterns in Italy: A Bayesian analysis, Demographic Research, Volume 20, Article 18, Pages 435-466, Max Planck Institute for Demographic Research, 24 April 2009).
2

BAYESIAN PORTFOLIO SELECTION WITH MSV MODELS

100%
Pajor A.
Przegląd Statystyczny
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2009
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vol. 56
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issue 1
40-55
EN
In the paper the authoress compares the predictive ability of discrete-time Multivariate Stochastic Volatility (MSV) models to optimal portfolio choice. She considers MSV models, which differ in the structure of the conditional covariance matrix (including the specifications with zero, constant and time-varying conditional correlations). Next, she constructs the optimal portfolio under the assumption that the asset returns are described by the multivariate stochastic volatility models. The authoress considers hypothetical portfolios, which consist of two currencies that were the most important for the Polish economy: the US dollar and euro. In the optimization process she uses the predictive distributions of future returns and the predictive conditional covariance matrix obtained from the MSV models.
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