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The Local Bootstrap for Kernel Estimators under General Dependence Conditions

Paparoditis, Efstathios; Politis, Dimitris - In: Annals of the Institute of Statistical Mathematics 52 (2000) 1, pp. 139-159

Persistent link: https://www.econbiz.de/10005169257

Copulas and bivariate risk measures : an application to hedge funds

Bedoui, Rihab; Dbadis, Makram Ben - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

. Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way, taking better account … of the stylized facts in finance. This paper is a practical implementation of the copulas theory to model dependence … the bivariate VaR level curves and to study extremal dependence between hedge funds strategies and share index returns …

Persistent link: https://www.econbiz.de/10005051488

Una estimación de los costes de un seguro público de dependencia de los mayores en España.

BRAÑA, F.J. - In: Estudios de Economía Aplicada 22 (2004) Diciembre, pp. 1-33

the cost of the resources associated to the dependence of the elderly, to allow for an evaluation of the cost of an … consequence, the dependence of the elderly and the related costs of care. The issue is considered as a social risk which should be …

Persistent link: https://www.econbiz.de/10005690351

A note on determining an optimal target by considering the dependence of holding costs and the quality characteristics

Shao, Yuehjen; Fowler, John; Runger, George - In: Journal of Applied Statistics 32 (2005) 8, pp. 813-822

Products that do not meet the specification criteria of an intended buyer represent a challenge to the producer in maximizing profits. To understand the value of the optimal process target (OPT) set at a profit-maximizing level, a model was developed by Shao et al. (1999) involving multiple...

Persistent link: https://www.econbiz.de/10005458369

Accounting for Dependence in Similarity Data from DNA Fingerprinting

Hepworth, Graham; Gordon, Ian; McCullough, Michael - In: Statistical Applications in Genetics and Molecular Biology 6 (2007) 1, pp. 1-1

problem of dependence, and are applied to a study of fluconazole resistance in Candida albicans. …

Persistent link: https://www.econbiz.de/10005459164

Semiparametric methods for the binormal model with multiple biomarkers

Ghosh, Debashis - Berkeley Electronic Press - 2004

Abstract: In diagnostic medicine, there is great interest in developing strategies for combining biomarkers in order to optimize classification accuracy. A popular model that has been used when one biomarker is available is the binormal model. Extension of the model to accommodate multiple...

Persistent link: https://www.econbiz.de/10005750996

Semiparametic models and estimation procedures for binormal ROC curves with multiple biomarkers

Ghosh, Debashis - Berkeley Electronic Press - 2004

In diagnostic medicine, there is great interest in developing strategies for combining biomarkers in order to optimize classification accuracy. A popular model that has been used for receiver operating characteristic (ROC) curve modelling when one biomarker is available is the binormal model....

Persistent link: https://www.econbiz.de/10005579273

IPCW Estimator for Kendall's Tau under Bivariate Censoring

Lakhal, Lajmi; Rivest, Louis-Paul; Beaudoin, David - In: International Journal of Biostatistics 5 (2009) 1, pp. 1121-1121

We investigate the nonparametric estimation of Kendall's coefficient of concordance, τ, for measuring the association between two variables under bivariate censoring. The proposed estimator is a modification of the estimator introduced by Oakes (1982), using a Horvitz-Thompson-type correction...

Persistent link: https://www.econbiz.de/10005585162

Cross-section Regression with Common Shocks

Andrews, Donald W.K. - School of Management, Yale University - 2004

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common …) estimators in this context. The results of the paper allow for any form of cross-section dependence and heterogeneity across …

Persistent link: https://www.econbiz.de/10005587091

Sign Tests for Dependent Observations and Bounds for Path-Dependent Options

Brown, Donald J.; Ibragimov, Rustam - Cowles Foundation for Research in Economics, Yale University - 2005

dependence to the i.i.d. binomial case. Furthermore, we show that the expected payoff of a European call option in the …

Persistent link: https://www.econbiz.de/10005593290