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Exponential Smoothing for Forecasting and Bayesian Validation of Computer Models
Wang, Shuchun - 2006
Despite their success and widespread usage in industry and business, ES methods have received little attention from the statistical community. We investigate three types of statistical models that have been found to underpin ES methods. They are ARIMA models, state space models with multiple...
Persistent link: https://www.econbiz.de/10009475950
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Dynamics on real estate and emerging markets
Schätz, Alexander - 2009
While much attention has focused on the modelling of the interdependencies between key aggregates and stock indices in industrialised countries, this thesis is focused on investments in emerging markets and real estate – two research branches that have up to now not been investigated to a...
Persistent link: https://www.econbiz.de/10009450173
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Das Optionswertmodell zur Erklärung der Rentenentscheidung
Kempf, Stefan - 2007
Diese empirische Arbeit untersucht Determinanten des Renteneintritts. Sie basiert auf einem Optionswertmodell, um die Bedeutung finanzieller Überlegungen für ein Aufschieben des Renteneintritts zu analysieren. Zusätzlich wird der Einfluss institutioneller Rahmenbedingungen betrachtet. Ein neu...
Persistent link: https://www.econbiz.de/10009433693
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Bedeutung der Spezifikation für Ratingmodelle
Rönnberg, Michael - 2010
Ziel dieser Arbeit ist die Untersuchung der Bedeutung der Spezifikation für Ratingmodelle zur Prognose von Kreditausfallwahrscheinlichkeiten. Ausgehend von dem in der Bankenpraxis etablierten Logit-Modell werden verschiedene Modellerweiterungen diskutiert und hinsichtlich ihrer Eigenschaften...
Persistent link: https://www.econbiz.de/10009433704
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Stochastic volatility : maximum likelihood estimation and specification testing
White, Scott Ian - 2006
introduction of a discrete nonlinear filtering (DNF) algorithm. This procedure uses the nonlinear filtering set of equations to … class. The DNF algorithm provides a fast and accurate implementation of the nonlinear filtering equations by treating the …
Persistent link: https://www.econbiz.de/10009437989
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Asymptotics for the maximum likelihood estimators of diffusion models
Park, Joon Y. (contributor) - 2008
In this paper I derive the asymptotics of the exact, Euler, and Milstein MLestimators for diffusion models, including general nonstationary diffusions. Thoughthere have been many estimators for the diffusion model, their asymptotic propertieswere generally unknown. This is especially true for...
Persistent link: https://www.econbiz.de/10009465058
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On the Numerics of Estimating Generalized Hyperbolic Distributions
Wang, Congcong - 2005
An important empirical fact in financial market is that return distributions are often skewed and heavy-tailed. This paper employs maximum likelihood estimation to estimate the five parameters of generalized hyperbolic distribution, a highly flexible heavy-tailed distribution. The estimation...
Persistent link: https://www.econbiz.de/10009467247
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Multiclus: A new method for simultaneously performing multidimensional scaling and cluster analysis
Jedidi, Kamel; DeSarbo, Wayne S.; Howard, Daniel J. - 1991
-dimensional space. The conditional mixture, maximum likelihood method is introduced together with an E-M algorithm for parameter … estimation. A Monte Carlo analysis is presented to investigate the performance of the algorithm as a number of data, parameter …
Persistent link: https://www.econbiz.de/10009476613
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A stochastic multidimensional scaling procedure for the empirical determination of convex indifference curves for preference/choice analysis
DeSarbo, Wayne S.; Jedidi, Kamel; Steckel, Joel H. - 1991
. Such methods tend to ignore many of the essential components of microeconomic theory including convex indifference curves … each class of models. These utility assumptions are then directly contrasted to those of microeconomic theory. The new …. The results of a Monte Carlo analysis investigating the performance of the algorithm as a number of model, data, and error …
Persistent link: https://www.econbiz.de/10009476614
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A stochastic multidimensional scaling procedure for the spatial representation of three-mode, three-way pick any/ J data
DeSarbo, Wayne S.; Jedidi, Kamel - 1991
weights depicting the third mode of the data. An algorithm using a conjugate gradient method with automatic restarts is … performance of the algorithm under diverse data and model specification conditions, examine the statistical properties of the …
Persistent link: https://www.econbiz.de/10009476615