Search Results - subject:"Counting process"

Semiparametric Analysis of Recurrent Events Data in the Presence of Dependent Censoring

Ghosh, Debashis; Lin, D. Y. - 2003

Dependent censoring occurs in longitudinal studies of recurrent events when the censoring time depends on the potentially unobserved recurrent event times. To perform regression analysis in this setting, we propose a semiparametric joint model that formulates the marginal distributions of the...

Persistent link: https://www.econbiz.de/10009476569

Mixed Discrete and Continuous Cox Regression Model

Prentice, Ross L.; Kalbfleisch, John D. - 2003

The Cox (1972) regression model is extended to include discrete and mixed continuous/discrete failure time data by retaining the multiplicative hazard rate form of the absolutely continuous model. Application of martingale arguments to the regression parameter estimating function show the...

Persistent link: https://www.econbiz.de/10009477091

Modeling purchases as repeated events

Bijwaard, Govert; Franses, Philip Hans; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2003

of a counting process, which counts the recurrent purchases for each household as they evolve over time. We show that … formulating the problem as a counting process has many advantages, both theoretically and empirically. We illustrate our model for …

Persistent link: https://www.econbiz.de/10010731800

Modeling purchases as repeated events

Bijwaard, G.E.; Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2003

Persistent link: https://www.econbiz.de/10005000458

Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model

Lu, Dawei - In: Statistics & Probability Letters 81 (2011) 12, pp. 1911-1919

In view of the actual condition of the insurance company, a multi-risk model is proposed. The lower and upper bounds for the sums of subexponential claims in this model are given. The proof method is based on the results of the total claim amount under subexponential class.

Persistent link: https://www.econbiz.de/10010571829

A branching particle approximation to a filtering micromovement model of asset price

Xiong, Jie; Zeng, Yong - In: Statistical Inference for Stochastic Processes 14 (2011) 2, pp. 111-140

Persistent link: https://www.econbiz.de/10009149864

Nonparametric inference in multiplicative intensity model by discrete time observation

Nishiyama, Yoichi - In: Annals of the Institute of Statistical Mathematics 62 (2010) 5, pp. 823-833

Persistent link: https://www.econbiz.de/10008533952

Regularity in individual shopping trips: implications for duration models in marketing

Bijwaard, Govert - In: Journal of Applied Statistics 37 (2010) 11, pp. 1931-1945

households. The model is formulated in a counting process framework that counts the recurrent purchases for each household over …

Persistent link: https://www.econbiz.de/10008674938

Risk Minimization for a Filtering Micromovement Model of Asset Price

Lee, Kiseop; Zeng, Yong - In: Applied Mathematical Finance 17 (2010) 2, pp. 177-199

The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important components in the actual price: random trading times and market microstructure noise. In this paper, we study optimal hedging strategies for...

Persistent link: https://www.econbiz.de/10008674997

Empirical likelihood inference for censored median regression with weighted empirical hazard functions

Zhao, Yichuan; Yang, Song - In: Annals of the Institute of Statistical Mathematics 60 (2008) 2, pp. 441-457

Persistent link: https://www.econbiz.de/10005616374