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Studentization and deriving accurate p-values
Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine (Paris IX) - 2008
relative to what is expected under the null; a modified statistic, say ~t(y), is developed that is ancillary; the corresponding … of a regular statistical model into a marginal density for a full dimensional ancillary and a conditional density for the … maximum likelihood variable. The full dimensional ancillary is shown to lead to an explicit determination of the Studentized …
Persistent link: https://www.econbiz.de/10010905315
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Studentization and the determination of p-values.
Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine - 2008
relative to what is expected under the null; a modified statistic, say ~t(y), is developed that is ancillary; the corresponding … of a regular statistical model into a marginal density for a full dimensional ancillary and a conditional density for the … maximum likelihood variable. The full dimensional ancillary is shown to lead to an explicit determination of the Studentized …
Persistent link: https://www.econbiz.de/10009002740
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Nonparametric conditional inference for regression coefficients with application to configural polysampling
Ho, YHS; Lee, SMS - 2008
We consider inference procedures, conditional on an observed ancillary statistic, for regression coefficients under a …
Persistent link: https://www.econbiz.de/10009471396
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European innovation partnership on active and healthy ageing: how is the EU connecting the dots between smart innovation and ageing boom
Lagiewka, Karolina; Pinto Antunes, Jorge - In: Review of Applied Socio-Economic Research (2011) 2, pp. 95-103
theories of 'ancillary innovation' this paper tries to ascertain the potential and added value of this EIP model as a tool for …
Persistent link: https://www.econbiz.de/10010616605
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Forecasting in an extended chain-ladder-type model
Nielsen, Bent; Kuang, Di; Nielsen, Jens Perch - Department of Economics, Oxford University - 2010
Reserving in general insurance is often done using chain-ladder-type methods.  We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle.  It is shown that methods for forecasting...
Persistent link: https://www.econbiz.de/10011004199
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Chain-Ladder as Maximum Likelihood Revisited
Nielsen, Bent; Kuang, D.; Nielsen, J.P. - Department of Economics, Oxford University - 2009
It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique.  We revisit this model.  A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation.  The maximum likelihood estimators...
Persistent link: https://www.econbiz.de/10011004394
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Chain-Ladder as Maximum Likelihood Revisited
Kuang, D.; Nielsen, B.; Nielsen, J. P. - Economics Group, Nuffield College, University of Oxford - 2009
It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. The maximum likelihood estimators for...
Persistent link: https://www.econbiz.de/10008469678
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The Geometric Chain-Ladder
Kuang, D; Nielsen, Bent; Nielsen, J P - Economics Group, Nuffield College, University of Oxford - 2013
The log normal reserving model is considered. The contribution of the paper is to derive explicit expressions for the maximum likelihood estimators. These are expressed in terms of development factors which are geometric averages. The distribution of the estimators is derived. It is shown that...
Persistent link: https://www.econbiz.de/10010823422
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Forecasting in an extended chain-ladder-type model
Kuang, Di; Nielsen, Bent; Nielsen, Jens Perch - Economics Group, Nuffield College, University of Oxford - 2010
Reserving in general insurance is often done using chain-ladder-type methods. We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle. It is shown that methods for forecasting...
Persistent link: https://www.econbiz.de/10008643681
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Understanding the New Keynesian model when monetary policy switches regimes
Farmer, Roger E. A.; Waggoner, Daniel F.; Zha, Tao - 2007
This paper studies a New Keynesian model in which monetary policy may switch between regimes. We derive sufficient conditions for indeterminacy that are easy to implement and we show that the necessary and sufficient condition for determinacy, provided by Davig and Leeper, is necessary but not...
Persistent link: https://www.econbiz.de/10010292275