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A characterization of conjugate priors in exponential families with application to inverse regression
Luo, Wei; Altman, Naomi S. - In: Statistics & Probability Letters 83 (2013) 2, pp. 650-654
It is often convenient to assume that X and X|Y are in the same exponential family. By considering X as the “parameter” and Y as the “data”, the problem becomes determining which exponential families X|Y have conjugate priors. We develop a necessary condition for conjugacy....
Persistent link: https://www.econbiz.de/10011039944
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Strategic forum selection and compliance in interstate dispute resolution
Lefler, Vanessa A. - In: Conflict Management and Peace Science 32 (2015) 1, pp. 76-98
This paper investigates strategic forum selection approaches and compliance with interstate dispute resolution … compliance, (b) states strategically select among bilateral and third-party fora, and (c) anticipated settlement outcomes and … forum selection and compliance. Statistical analysis finds that states strategically select management approaches in two …
Persistent link: https://www.econbiz.de/10011165862
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Treatment Comparison in Biomedical Studies Using Survival Function
Zhao, Meng - 2011
In the dissertation, we study the statistical evaluation of treatment comparisons by evaluating the relative comparison of survival experiences between two treatment groups. We construct confidence interval and simultaneous confidence bands for the ratio and odds ratio of two survival functions...
Persistent link: https://www.econbiz.de/10009463366
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A transfer/clearing inventory model under sporadic review
Berman, Oded; Krass, Dmitry; Perry, David - In: Mathematical Methods of Operations Research 57 (2003) 2, pp. 329-344
We consider two locations in tandem of an inventory model, so-called the buffer and the store. The content levels in both locations are controlled simultaneously by transferring inventory from the buffer location to the store location. Under a certain cost function that takes into account the...
Persistent link: https://www.econbiz.de/10010999606
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A transfer/clearing inventory model under sporadic review
Berman, Oded; Krass, Dmitry; Perry, David - In: Computational Statistics 57 (2003) 2, pp. 329-344
We consider two locations in tandem of an inventory model, so-called the buffer and the store. The content levels in both locations are controlled simultaneously by transferring inventory from the buffer location to the store location. Under a certain cost function that takes into account the...
Persistent link: https://www.econbiz.de/10010847555
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Ruin problems for a discrete time risk model with random interest rate
Yang, Hailiang; Zhang, Lihong - In: Computational Statistics 63 (2006) 2, pp. 287-299
process is proved by using martingale techniques, an expression of ruin probability is obtained, and bounds for ruin …
Persistent link: https://www.econbiz.de/10010847722
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Asymptotically distribution free test for parameter change in a diffusion process model
Negri, Ilia; Nishiyama, Yoichi - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 911-918
A test procedure to detect a change in the value of the parameter in the drift of a diffusion process is proposed. The test statistic is asymptotically distribution free under the null hypothesis that the true parameter does not change. Also, the test is shown to be consistent under the...
Persistent link: https://www.econbiz.de/10010848673
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Sticky continuous processes have consistent price systems
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - School of Economics and Management, University of Aarhus - 2013
semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi …
Persistent link: https://www.econbiz.de/10010851256
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A delay financial model with stochastic volatility; martingale method
Lee, Min-Ku; Kim, Jeong-Hoon; Kim, Joocheol - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 16, pp. 2909-2919
a hidden process of fast mean reverting diffusion, to the delayed model. Combining a martingale approach and an … proof that a discounted approximate option price can be decomposed as a martingale part plus a small term. Subsequently, a …
Persistent link: https://www.econbiz.de/10010874388
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State-Price Deflators and Risk-Neutral valuation of Life Insurance Liabilities
Bell Fanon, Bell Fanon Ouelega - Association of African Young Economists - AAYE - 2013
Worldwide life insurance regulations are converging towards stochastic valuation of liabilities. Some regulatory framework requires the actuary to estimate the market consistent value of the liabilities. Often, a risk neutral ESG is used to project and discount future liabilities cash flows....
Persistent link: https://www.econbiz.de/10010938537