Search Results - subject:"Delta method"

The cross-sectional distribution of completed lifetimes: Some new inferences from survival analysis

Tian, Maoshan; Dixon, Huw - 2018

delta method is applied to derive the variance of the of three cumulative distribution functions: the distribution of …

Persistent link: https://www.econbiz.de/10012429980

The cross-sectional distribution of completed lifetimes : some new inferences from survival analysis

Tian, Maoshan; Dixon, Huw - 2018

delta method is applied to derive the variance of the of three cumulative distribution functions: the distribution of …

Persistent link: https://www.econbiz.de/10011962004

Test for changes in the modeled solvency capital requirement of an internal risk model

Gaigall, Daniel - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 813-837

Persistent link: https://www.econbiz.de/10012656731

Alternative graphical representations of the confidence intervals for the structural coefficient from exactly identified two-stage least squares

Hirschberg, Joseph G.; Lye, Jenny N. - 2017

Persistent link: https://www.econbiz.de/10011618901

Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model

Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10012297503

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...

Persistent link: https://www.econbiz.de/10010491409

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...

Persistent link: https://www.econbiz.de/10011403547

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - Tinbergen Instituut - 2015

Persistent link: https://www.econbiz.de/10011256671

Trade potential revisited : a panel data analysis for Zimbabwe

Martínez-Galán, Enrique; Proença, Isabel; Fontoura, … - 2015

Persistent link: https://www.econbiz.de/10011549961

Shape regressions

Leorato, Samantha; Peracchi, Franco - 2015

Persistent link: https://www.econbiz.de/10011485533