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Identification of a competing risks model with unknown transformations of latent failure times

Sokbae 'Simon' Lee - Centre for Microdata Methods and Practice (CEMMAP) - 2005

This paper is concerned with identification of a competing risks model with unknown transformations of latent failure times. The model in this paper includes, as special cases, competing risks versions of proportional hazards, mixed proportional hazards, and accelerated failure time models. It...

Persistent link: https://www.econbiz.de/10005727660

The effect of protest votes on the estimates of willingness to pay for use values of recreational sites

Strazzera, Elisabetta; Genius, Margarita; Scarpa, Riccardo - 2001

Selectivity bias caused by protest responses in Contingent Valuation studies can be detected and corrected by means of sample selection models. This paper compares two methods: the Heckman 2-steps method and the full ML, applied to data on forest recreation - where WTP is elicited as a...

Persistent link: https://www.econbiz.de/10011608859

Recurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returns

Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang Karl - 2008

recurrent SVR is compared with three competing methods, MLE, recurrent MLP and feedforward SVR. Theoretically, MLE and MLP only … metrics (NSME and sign). That is, for one-step-ahead forecasting, the recurrent SVR is consistently better than the MLE and …

Persistent link: https://www.econbiz.de/10010274149

Estimating parameters of the three-parameter Weibull distribution using a neural network

Abbasi, B; Rabelo, L; Hosseinkouchack, M - 2008

procedures such as Maximum Likelihood Estimation (MLE) have become almost too complicated to implement. In this paper, we will … an MLE and two moment-based methods. …

Persistent link: https://www.econbiz.de/10009481810

Estimation of regulatory credit risk models

Pérez Montes, Carlos - 2013

Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and...

Persistent link: https://www.econbiz.de/10012530413

Marshall-Olkin Power Lomax distribution for modeling of wind speed data

Ul Haq, Muhammad Ahsan; Rao, G. Srinivasa; Albassam, … - In: Energy Reports 6 (2020), pp. 1118-1123

Accurate collection of wind speed records is significant for numerous wind power applications. The present investigation aims to highlight the use of the Marshall-Olkin Power Lomax (MOPLx) distribution for wind speed data. We examine the actual wind speed records gathered from three stations...

Persistent link: https://www.econbiz.de/10012652468

Hidden Markov model for stock selection

Nguyen, Nguyet; Nguyen, Dung - In: Risks 3 (2015) 4, pp. 455-473

The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for...

Persistent link: https://www.econbiz.de/10011709535

Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of … spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive … estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …

Persistent link: https://www.econbiz.de/10011755273

Estimation of parameters in weighted generalized beta distributions of the second kind

Ye, Yuan; Oluyede, Broderick O.; Pararai, Mavis - In: Journal of Statistical and Econometric Methods 1 (2012) 1, pp. 1-12

. WGB2 proved to be in the generalized beta-F family of distributions, and maximum likelihood estimation(MLE) is used to …

Persistent link: https://www.econbiz.de/10010281952

Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

Persistent link: https://www.econbiz.de/10011285427