The aim of our paper is the development of an adequate estimation model for the loss given default, which incorporates the empirically observed bimodality and bounded nature of the distribution. Therefore we introduce an adjusted Expectation Maximization algorithm to estimate the parameters of a...

Item count techniques (ICTs) are indirect survey questioning methods designed to deal with sensitive features. These techniques have gained the support of many applied researchers and undergone further theoretical development. Latterly in the literature, two new item count methods, called...

In public health research, it is common to follow a cohort of subjects over time, observing a vector of health indicators and a set of covariates at each of many visits. An objective of analysis is to characterize the inter-dependencies, in particular, the feedback of one response upon another...

Hierarchical or "multilevel" regression models typically parameterize the mean response conditional on unobserved latent variables or "random" effects and then make simple assumptions regarding their distribution. The interpretation of a regression parameter in such a model is the change in...

In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...

It is well understood that the two most popular empirical models of location choice - conditional logit and Poisson - return identical coefficient estimates when the regressors are not individual specific. We show that these two models differ starkly in terms of their implied predictions. The...

It is well known that the bridge regression (with tuning parameter less or equal to 1) gives asymptotically unbiased estimates of the nonzero regression parameters while shrinking smaller regression parameters to zero to achieve variable selection. Despite advances in the last several decades in...

In this paper, linear errors-in-response models are considered in the presence of validation data on the responses. A semiparametric dimension reduction technique is employed to define an estimator of Ø with asymptotic normality, the estimated empirical loglikelihoods and the adjusted empirical...