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Robust Credibility with the Kalman Filter
Robust Credibility ... are i.i.d., (ii) Conditionally oll @, the r.v.'s Xj~ .... , Xjt are i.i.d.. Since the results only ... , k f i xed 1 is given by for .a(o,) = s (x j , ) + z Ix, . - E (x , , ) ] z = v[~,(e ...- Authors: José Garrido, Rosario Romera
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods