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Estimation with probability edited survey data under nonresponse

Ilves, Maiki - 2025

Probabilistic editing has been introduced to enable valid inference using established survey sampling theory in … survey sampling, and cannot provide expressions for point and variance estimates that account for the uncertainties … simultaneously present, in addition to the sampling error: the measurement error, requiring an editing step, and the practically …

Persistent link: https://www.econbiz.de/10015207175

Matrix variate generalized laplace distributions

Kozubowski, Tomasz J.; Mazur, Stepan; Podgorski, Krysztof - 2022

The generalized asymmetric Laplace (GAL) distribution, also known as the variance/mean-gamma model, is a popular flexible class of distributions that can account for peakedness, skewness, and heavier than normal tails, often observed in financial or other empirical data. We consider extensions...

Persistent link: https://www.econbiz.de/10013258069

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Persistent link: https://www.econbiz.de/10014281687

Selective sampling with information-storage constraints

Jehiel, Philippe; Steiner, Jakub - 2019

Persistent link: https://www.econbiz.de/10012234587

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

Persistent link: https://www.econbiz.de/10014252427

Generalized Weibull distributions

Sharma, Mansi; Stern, Steven - 2024

Persistent link: https://www.econbiz.de/10015163029

A note on the probability of winning a lottery when the number of competitors is a binomial random variable

Hogan, Seamus D.; Meriluoto, Laura - 2010

Persistent link: https://www.econbiz.de/10008688813

The method of moments for multivariate random sums

Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024

Multivariate random sums appear in many scientific fields, most notably in actuarial science, where they model both the number of claims and their sizes. Unfortunately, they pose severe inferential problems. For example, their density function is analytically intractable, in the general case,...

Persistent link: https://www.econbiz.de/10014575595

Matrix gamma distributions and related stochastic processes

Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022

There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

Persistent link: https://www.econbiz.de/10013469607

Quasi maximum likelihood estimation of spatial models with heterogeneous coefficients

Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2015

This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial coefficients differ across the spatial units. It derives conditions under which the spatial coefficients are identified and develops a quasi maximum likelihood (QML) estimation...

Persistent link: https://www.econbiz.de/10011283005