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Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time

Mesters, Geert; Koopman, Siem Jan - 2012

An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure based on the importance sampling technique. In particular,...

Persistent link: https://www.econbiz.de/10010326209

Generalized dynamic panel data models with random effects for cross-section and time

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722706

Interval estimation for a measure of tail dependence

Liu, Aiai; Hou, Yanxi; Peng, Liang - In: Insurance / Mathematics & economics 64 (2015), pp. 294-305

Persistent link: https://www.econbiz.de/10011398079

Inference on partially identified parameters : with applications to the evaluation of heterogeneous treatment effects

Park, Sang Soo - 2008

Persistent link: https://www.econbiz.de/10011573850

Estimation procedures for reliability functions of Kumaraswamy-G Distributions based on Type II Censoring and the sampling scheme of Bartholomew

Chaturvedi, Aditi; Kumar, Surinder - In: Statistics in transition : an international journal of … 23 (2022) 1, pp. 129-152

In this paper, we consider Kumaraswamy-G distributions and derive a Uniformly Minimum Variance Unbiased Estimator (UMVUE) and a Maximum Likelihood Estimator (MLE) of the two measures of reliability, namely R(t) = P(X t) and P = P(X Y ) under Type II censoring scheme and sampling scheme of...

Persistent link: https://www.econbiz.de/10013419376

Exact inference for a simple step-stress model from the exponential distribution under time constraint

Balakrishnan, N.; Xie, Qihao; Kundu, D. - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 251-274

Persistent link: https://www.econbiz.de/10005169240

Poisson weighted Ishita distribution : model for analysis of over-dispersed medical count data

Para, Bilal Ahmad; Jan, Tariq Rashid - In: Statistics in transition : an international journal of … 21 (2020) 3, pp. 171-184

A new over-dispersed discrete probability model is introduced, by compounding the Poisson distribution with the weighted Ishita distribution. The statistical properties of the newly introduced distribution have been derived and discussed. Parameter estimation has been done with the application...

Persistent link: https://www.econbiz.de/10012291678

Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und eine...

Dannenberg, Henry - 2009

für eine genaue Bewertung voraus. Als Alternative bietet sich bei kurzen Datenhistorien Bootstrapping an. Diese Methode … verfügbarer Perioden Bootstrapping und eine WaldKonfidenzregion zu einer vergleichbaren Bewertung des Kreditrisikos gelangen. Die … region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with …

Persistent link: https://www.econbiz.de/10010267037

Commodity market risk from 1995 to 2013 : an extreme value theory approach

Fretheim, Torun; Kristiansen, Glenn - In: Applied economics 47 (2015) 25/27, pp. 2768-2782

Persistent link: https://www.econbiz.de/10010519613

Extreme value theory for operational risk in insurance : a case study

Vyskočil, Michal; Koudelka, Jiří - In: The journal of operational risk 16 (2021) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10013177451