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Improved algorithms for rare event simulation with heavy tails

Asmussen, Søren; Kroese, Dirk P. - 2006

The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...

Persistent link: https://www.econbiz.de/10009448797

A functional coefficient model view of the saving-investment relation

Fang Xu - 2007

, factor based bootstrap approach is proposed for inferential issues in functional coefficient models. This approach can cope … with heterogeneous error distributions and is proven to hold asymptotically. In simulation studies factor based bootstrap … inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features. Regarding current account …

Persistent link: https://www.econbiz.de/10009429004

APPLICATION OF THE EMPIRICAL LIKELIHOOD METHOD IN PROPORTIONAL HAZARDS MODEL

He, Bin - 2007

In survival analysis, proportional hazards model is the most commonly used and the Cox model is the most popular. These models are developed to facilitate statistical analysis frequently encountered in medical research or reliability studies. In analyzing real data sets, checking the validity of...

Persistent link: https://www.econbiz.de/10009431108

Bootstrapping of Spatially Correlated Data

Agarwal, Prasheen Kumar - 2003

The application of the bootstrap to spatially correlated data has not been studied as widely as its application to time … implementing the bootstrap method. Kunsch (1989), Politis and Romano(1993, Liu and Singh(1992) have suggested bootstrapping methods …

Persistent link: https://www.econbiz.de/10009431163

Testing Patterns of Nucleotide Substitution Rates at Multiple Genes

Tao, Wenli - 2002

Poisson regression in a log-linear model. The third one is a nonparametric approach based on bootstrap percentile confidence … computationally expensive and it has desirable Type I errors in most cases as well as good powers. The bootstrap-based method is the …

Persistent link: https://www.econbiz.de/10009431223

New Methods using Levene Type Tests for Hypotheses about Dispersion Differences

Liu, Xiaoni - 2006

) estimation and by Huber Proposal 2 M-estimation. We also apply bootstrap methods to these Levene type tests and compare by …

Persistent link: https://www.econbiz.de/10009431274

Bootstrapping a conditional moments test for normality after tobit estimation

Drukker, David M. - 2002

reasonable power when the critical values are obtained via a parametric bootstrap. …

Persistent link: https://www.econbiz.de/10009442280

Estimation and Inference for Threshold Effects in Panel Data Stochastic Frontier Models

Yelou, Clement; Larue, Bruno; Tran, Kien C. - 2007

One of the most enduring problems in cross-section or panel data models is heterogeneity among individual observations. Different approaches have been proposed to deal with this issue, but threshold regression models offer intuitively appealing econometric methods to account for heterogeneity....

Persistent link: https://www.econbiz.de/10009444965

Estimating the Costs of Revenue Deficiency Programs

Cooper, Joseph C. - 2007

This paper develops an approach to empirically demonstrate how the within-season distribution of U.S. domestic commodity support for corn differs between current-style approaches of support and revenue-based support. From a purely economic standpoint, the results show the revenue-based payment...

Persistent link: https://www.econbiz.de/10009444982

Nonparametric Bounds on Welfare with Measurement Error in Prices: Techniques for Non-Market Resource Valuation

Crooker, John R. - 2007

bootstrap augmented nonparametric procedure to precisely bound welfare when price data contains measurement error. The technique …

Persistent link: https://www.econbiz.de/10009445755