Browsing Bergen Open Research Archive by Author "Støve, Bård"
Now showing items 1-9 of 9
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Assessing non-linearity in European temperature-sensitive tree-ring data
Ljungqvist, Fredrik Charpentier; Thejll, Peter; Björklund, Jesper; Gunnarson, Björn E.; Piermattei, Alma; Rydval, Miloš; Seftigen, Kristina; Støve, Bård; Büntgen, Ulf (Journal article; Peer reviewed, 2020-02)We test the application of parametric, non-parametric, and semi-parametric calibration models for reconstructing summer (June–August) temperature from a set of tree-ring width and density data on the same dendro samples ... -
Computational issues in parameter estimation for hidden Markov models with template model builder
Bacri, Timothee Raphael Ferdinand; Berentsen, Geir Drage; Bulla, Jan; Støve, Bård (Journal article; Peer reviewed, 2023)A popular way to estimate the parameters of a hidden Markov model (HMM) is direct numerical maximization (DNM) of the (log-)likelihood function. The advantages of employing the TMB [Kristensen K, Nielsen A, Berg C, et al. ... -
The European Biological Variation Study (EuBIVAS): Biological Variation Data for Coagulation Markers Estimated by a Bayesian Model
Aarsand, Aasne K.; Kristoffersen, Ann-Helen; Sandberg, Sverre; Støve, Bård; Coşkun, Abdurrahman; Fernandez-Calle, Pilar; Díaz-Garzón, Jorge; Guerra, Elena; Ceriotti, Ferruccio; Jonker, Niels; Røraas, Thomas; Carobene, Anna (Journal article; Peer reviewed, 2021)Background For biological variation (BV) data to be safely used, data must be reliable and relevant to the population in which they are applied. We used samples from the European Biological Variation Study (EuBIVAS) to ... -
Modelling clusters of corporate defaults: Regime-switching models significantly reduce the contagion source
Berentsen, Geir Drage; Bulla, Jan; Maruotti, Antonello; Støve, Bård (Journal article; Peer reviewed, 2022)In this paper, we report robust evidence that the process of corporate defaults is time-dependent and can be modelled by extending an autoregressive count time series model class via the introduction of regime-switching. ... -
Multivariate count autoregression
Fokianos, Konstantinos; Støve, Bård; Tjøstheim, Dag Bjarne; Doukhan, Paul (Journal article; Peer reviewed, 2020)We are studying linear and log-linear models for multivariate count time series data with Poisson marginals. For studying the properties of such processes we develop a novel conceptual framework which is based on copulas. ... -
Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Sleire, Anders Daasvand; Støve, Bård; Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne; Haugen, Sverre Hauso (Journal article; Peer reviewed, 2021)It is well known that there are asymmetric dependence structures between financial returns. This paper describes a portfolio selection method rooted in the classical mean–variance framework that incorporates such asymmetric ... -
Some New Approaches to Smoothing: Convolution Estimators in Regression Models and Backfitting in Panels of Time Series
Støve, Bård (Doctoral thesis, 2005-11-18) -
Testing for time-varying nonlinear dependence structures: Regime-switching and local Gaussian correlation
Gundersen, Kristian; Bacri, Timothee Raphael Ferdinand; Bulla, Jan; Hølleland, Sondre Nedreås; Maruotti, Antonello; Støve, Bård (Journal article; Peer reviewed, 2024)This paper examines nonlinear and time-varying dependence structures between a pair of stochastic variables, using a novel approach which combines regime-switching models and local Gaussian correlation (LGC). We propose ... -
A TMB Approach to Study Spatial Variation in Weather-Generated Claims in Insurance
Thorsen, Ingrid Sandvig; Støve, Bård; Skaug, Hans Julius (Journal article; Peer reviewed, 2023)In this paper, we use TMB to study spatial variation in weather-generated claims in insurance. Our motivation is twofold. By comparing with INLA, we first find that TMB is a robust and efficient approach to deal with spatial ...