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Moderate deviations and intermediate efficiency for lack-of-fit tests
Mason, David M.; Eubank, Randy - In: Statistics & Risk Modeling 29 (2012) 2, pp. 175-187
Abstract We illustrate a new technique for establishing moderate deviation principles for lack-of-fit tests. The method is applied to the problem of comparing two tests using intermediate asymptotic relative efficiency.
Persistent link: https://www.econbiz.de/10014622223
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Simulation-based Valuation and Counterparty Exposure Estimation of American Options
Kan, Kin Hung - 2010
as the only viable approach to price them, and this is the focus of our work. We propose a new regression-based Monte … properties of the least-squares regression estimators. The resulting expression is easy to evaluate, and is applicable to any …
Persistent link: https://www.econbiz.de/10009447254
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Long-term survivor mixture model with random effects: application to a multi-centre clinical trial of carcinoma
Yau, KKW; Ng, ASK - 2001
A mixture model incorporating long-term survivors has been adopted in the field of biostatistics where some individuals may never experience the failure event under study. The surviving fractions may be considered as cured. In most applications, the survival times are assumed to be independent....
Persistent link: https://www.econbiz.de/10009448034
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Modelling and analysis of data that exhibit temporal decay
Faddy, M. J.; Jones, M. C. - 1999
Two recent examples of data from statistical consulting work form the basis of this paper. Both data sets arose from situations where temporal decay was expected, and different models for this are discussed, in particular, variants on simple exponential decay: hyperexponential (or mixed...
Persistent link: https://www.econbiz.de/10009448323
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On the estimation and comparison of short-rate models using the generalised method of moments
Faff, R.; Gray, P. - 2006
Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...
Persistent link: https://www.econbiz.de/10009448412
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Effect of model strength on predationof Batesian models and mimics.
Benz, Jeanne M.; Dunlop, Cristina S.; Jeffries, Antonia S. - 1997
Certain species in nature have evolved characteristics that provide protection from predators. Batesian mimicry is a system that describes a model/mimic relationship, in which a palatable organism phenotypically resembles an unpalatable organism. The effectiveness of the mimicry system may...
Persistent link: https://www.econbiz.de/10009477428
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Efficient parameter estimation in longitudinal data analysis using a hybrid GEE method
Leung, DHY; Wang, YG; Zhu, M - 2009
Persistent link: https://www.econbiz.de/10009448429
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Vehicle Demand Responses of Green Vehicle Taxation Policies and Increased Gasoline Prices
Methipara, Jasmy - 2010
generation, congestion management, energy/environmental sustainability, and equity. A regression demand model is developed for …
Persistent link: https://www.econbiz.de/10009450607
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Another Look at Huber's Estimator: A New Minimax Estimator in Regression with Stochastically Bounded Noise
Ni, Xuelei "Sherry"; Huo, Xiaoming - 2009
Huber's estimator is not the only choice. We develop an alternative asymptotic minimax estimator and name it regression with …
Persistent link: https://www.econbiz.de/10009459026
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A modified storey enclosure model
Cheung, Franco K.T.; Skitmore, Martin - 2006
empirical values of the weightings are derived by multivariate regression analysis. A set of 50 completed Hong Kong private … inclusion in the model is identified by means of a dual stepwise cross validation regression procedure - resulting in a … cross validation regression is used to produce a Regressed Modified Model for Amended Storey Enclosure Method (RMASEM). The …
Persistent link: https://www.econbiz.de/10009483259