Problems of the analysis of data with incomplete observations are all too familiar in statistics. They are doubly difficult if we are also uncertain about the choice of model. We propose a general formulation for the discussion of such problems and develop approximations to the resulting bias of...

This work is motivated by dose-finding studies, where the number of events per subject within a specified study period form the primary outcome. The aim of the considered studies is to identify the target dose for which the new drug can be shown to be as effective as a competitor medication....

Local bifurcation theory typically deals with the response of a degenerate but isolated equilibrium state or periodic orbit of a dynamical system to perturbations controlled by one or more independent parameters, and characteristically uses tools from singularity theory. There are many...

We introduce the concept of inconsequential arbitrage and, in the context of a model allowing short-sales and half-lines in indifference surfaces, prove that inconsequential arbitrage is sufficient for existence of equilibrium. Moreover, with a slightly stronger condition of nonsatiation than...

A conditional simulation technique has previously been presented for variance reduction when estimating rail probabilities. particularly extreme ones. for a wide class of moving-average processes. Here. ve generalize the technique from continuous ro discrete random variables. Two distinct...

Unemployment durations are generally modelled by using survival analysis. In the past, in Britain, all such studies have not only used very restrictive parametric specifications of the hazard functions, most commonly Weibull in form, but also only modelled unemployment durations without...

The calculation of interval forecasts for highly persistent autoregressive (AR) time series based on the bootstrap is considered. Three methods are considered for countering the small-sample bias of least-squares estimation for processes which have roots close to the unit circle: a bootstrap...

A robust minimax approach for optimal investment decisions with imprecise return forecasts and risk estimations in financial portfolio management is considered. Single-period and multi-period mean-variance optimization models are extended to worst-case design with multiple rival risk estimations...

This paper is concerned with a paradox associated with parameter estimation in the presence of nuisance parameters. In a statistical model with unknown nuisance parameters, the efficiency of an estimator of a parameter usually increases when the nuisance parameters are known. However the...

This paper estimates the long- and short-run elasticities for Lotto. It is particularly concerned with the dynamic response to price variations since, for some goods, this has sometimes been used to infer the presence of addiction. The price elasticity is identified through variation in the...