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model and the MC1-PL IRT model. Several scenarios were explored in which both unidimensional and multidimensional item … generally applied to the 1-PL IRT model were not sensitive to the multidimensional item-level structure, reinforcing the …
Persistent link: https://www.econbiz.de/10009456838
Valuing American options is a central problem in option pricing since the early-exercise feature is very common among financial or insurance derivatives products. For high-dimensional American options, Monte Carlo simulation is generally regarded as the only viable approach to price them, and...
Persistent link: https://www.econbiz.de/10009447254
Stone Cluster using the method of multidimensional evaluation of clusters and cluster initiatives. Viewed area is extended …
Persistent link: https://www.econbiz.de/10011315709
-response choice models. This is achieved by adopting different copula-based methodologies, which offer flexible dependency structures … methodology to capture the social dependency (or correlation) across observational units. In particular, a clustered copula …
Persistent link: https://www.econbiz.de/10009429372
copula based joint discrete multinomial-duration model of choice accommodating the two dimensions of work related choices …-education, responsibility for child-care, family ties act as driving forces for adopting telecommuting. The sign of the Gaussian copula …
Persistent link: https://www.econbiz.de/10009429390
that the Student copula was more appropriate for drought analysis in the selected area. Drought probabilities and return … periods were calculated and analyzed based on the four-dimensional copula. …
Persistent link: https://www.econbiz.de/10009430735
This thesis presents a class of graphical models for directly representing the joint cumulative distribution function (CDF) of many random variables, called cumulative distribution networks (CDNs). Unlike graphical models for probability density and mass functions, in a CDN, the marginal...
Persistent link: https://www.econbiz.de/10009455298
leverages the theory of copula,combined with a probabilistic framework from the machine learning community, to produce a … versatile tool for multiple time-series analysis. I coined this new model Kernel-based Copula Processes (KCPs). Under the new … long-range dependency can be captured by a copula function. The copula function separates the marginal behavior and serial …
Persistent link: https://www.econbiz.de/10009455329
This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a...
Persistent link: https://www.econbiz.de/10009463409
Persistent link: https://www.econbiz.de/10009464063