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Nonparametric estimation for non-homogeneous semi-Markov processes : an application to credit risk
Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10011348706
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On the identification of the costs of simultaneous search
Moraga-González, José Luis; Sandor, Zsolt; … - 2011 - Revised: May 2011
markets wherethe alternatives that similar decision makers confront vary, the search cost distribution and theutility …
Persistent link: https://www.econbiz.de/10011380935
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A multinomial and rank-ordered logit model with inter- and intraindividual heteroscedasticity
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020
The heteroscedastic logit model is useful to describe choices of individuals when the randomness in the choice-making varies over time. For example, during surveys individuals may become fatigued and start responding more randomly to questions as the survey proceeds. Or when completing a ranking...
Persistent link: https://www.econbiz.de/10012427691
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A Bayesian infinite hidden Markov vector autoregressive model
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2016
We propose a Bayesian infinite hidden Markov model to estimate time- varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture model,...
Persistent link: https://www.econbiz.de/10011569148
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Flexible mixture-amount models for business and industry using Gaussian processes
Ruseckaite, Aiste; Fok, Dennis; Goos, Peter - 2016
Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...
Persistent link: https://www.econbiz.de/10011531150
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Biases in willingness-to-pay measures from multinomial logit estimates due to unobserved heterogeneity
Berg, Vincent A. C. van den; Kroes, Eric; Verhoef, Erik T. - 2010
It is a common finding in empirical discrete choice studies that the estimated mean relative values of the coefficients (i.e. WTP's) from multinomial logit (MNL) estimations differ from those calculated using mixed logit estimations, where the mixed logit has the better statistical fit. However,...
Persistent link: https://www.econbiz.de/10011379636
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Time-varying effects of housing attributes and economic environment on housing price
Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; … - 2023
We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external...
Persistent link: https://www.econbiz.de/10014313698
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Deal or no deal? : decision-making under risk in a large-payoff game show
Post, Thierry; Baltussen, Guido; Assem, Martijn J. van den - 2006
We examine the risky choices of contestants in the popular TV game show “Deal or No Deal” and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk aversion...
Persistent link: https://www.econbiz.de/10011348343
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On the optimality of regularity in mixing markovian decision rules for MDP control
Laan, Dinard van der - 2010
In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a … finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules … should be mixed to improve the performance. The set of allowed Markovian decision rules could for example consist of some …
Persistent link: https://www.econbiz.de/10011380145
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Ordering the preference hierarchies for internal finance, bank loans, bond and share issues
Haan, Leo de; Hinloopen, Jeroen - 2002
We estimate the incremental financing decision for a sample of some 150Dutch companies for the years 1984 through 1997 …
Persistent link: https://www.econbiz.de/10011327550