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Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors. (English) Zbl 1024.62043

Summary: Weighted least squares methods are developed for the estimation of variance-covariance parameters of credibility regression models with moving average dependent errors. The estimators proposed are shown to be useful for constructing empirical Bayes estimators and credibility type estimators. Numerical examples are included to illustrate the proposed methods.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62H12 Estimation in multivariate analysis
62J05 Linear regression; mixed models
62C12 Empirical decision procedures; empirical Bayes procedures
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