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Graphical models for associations between variables, some of which are quantitative and some qualitative

Lauritzen, Steffen L.; Wermuth, N. - 1989

We define and investigate classes of statistical models for the analysis of associations between variables, some of which are qualitative and some quantitative. In the cases where only one kind of variables is present, the models are well-known models for either contingency tables or covariance...

Persistent link: https://www.econbiz.de/10009441395

HEDGE DINÂMICOS: UMA EVIDÊNCIA PARA OS CONTRATOS FUTUROS BRASILEIROS

Bitencourt, Wanderci Alves; Silva, Washington Santos; … - 2006

, the conventional model of regression and the bivariateGARCH BEKK model that considers the conditional correlations of the …

Persistent link: https://www.econbiz.de/10009445673

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

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

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

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

The consistency of empirical comparisons of regression and analogy-based software project cost prediction

Mair, CM; Shepperd, M J - 2005

estimation. We focus on regression and analogy techniques as these are commonly used. METHOD – we conducted an exhaustive search … inconsistent pattern from 20 different studies comparing regression and analogy is somewhat disturbing. It suggests that we need to …

Persistent link: https://www.econbiz.de/10009465538

Analysis and evaluation of loyalty programs measured on a set of variables for a leading credit card company

Tsai, Yu-I; Pervez, Farhan; Asahara, Keiko; Song, Eric - 2006

rewarded more. Second, the lagged regression analysis was used to explore the cause-effect relationship between spending and … correlation between them, and it also provided estimated parameters in the regression models. Last, the current rewards scheme was …

Persistent link: https://www.econbiz.de/10009466145

Bayesian Generalized Product Partition Model

Dunson, David - 2010

Starting with a carefully formulated Dirichlet process (DP) mixture model, we derive a generalized product partition model (GPPM) in which the partition process is predictor-dependent. The GPPM generalizes DP clustering to relax the exchangeability assumption through the incorporation of...

Persistent link: https://www.econbiz.de/10009475421

The Use of Error Components Models in Combining Cross Section with Time Series Data

Wallace, T. D.; Hussain, Ashiq - 1969

A mixed model of regression with error components is proposed as one of possible interest for combining cross section … theoretical results obtained, as well as ease of computation, tend to support traditional covariance estimators of the regression … care in combining data from alternative sources in regression analysis. …

Persistent link: https://www.econbiz.de/10009475492