"Two sided analysis of variance with a latent time series"  
	
Lars Hougaard Hansen
University of Copenhagen & Codan Forsikring

Bent Nielsen 
Nuffield College, University of Oxford

Jens Perch Nielsen
Codan Forsikring

Abstract:	
Many real life regression problems exhibit some kind of calender time
dependency and it is often of interest to predict the behavior of the
regression function along this calender time direction. This can be
formulated as a regression model with an added latent time series and
the task is to be able to analyse this series. In this paper we engage
this through a two step procedure, firstly we treat the time dependent
elements as parameters and estimate them in the two-sided analysis of
variance setup, secondly we use the estimated time series as predictor
of the latent time series. An application to risk theory is discussed.