Search Results - subject:"EM Algorithm"

Estimation and model selection for left-truncated and right-censored lifetime data with application to electric power transformers analysis

Emura, Takeshi; Shiu, Shau-Kai - Volkswirtschaftliche Fakultät, … - 2014

algorithm. However, it is not clear whether the EM algorithm offers a better solution compared to the simpler Newton …-Raphson algorithm. In this paper, the first objective is a systematic comparison of the EM algorithm with the Newton-Raphson algorithm …In lifetime analysis of electric transformers, the maximum likelihood estimation has been proposed with the EM …

Persistent link: https://www.econbiz.de/10011110797

Metro Business Cycles

Arias, Arias , Maria A.; Gascon, Charles S.; Rapach, … - Federal Reserve Bank of St. Louis - 2014

We construct monthly economic-activity indices for 51 U.S. metropolitan statistical areas for 1990 to 2014. Each index is computed via a dynamic factor model that includes 14 variables measuring various aspects of economic activity in a metro area. We estimate the dynamic factor model using the...

Persistent link: https://www.econbiz.de/10011027333

Multivariate Cox Hidden Markov models with an application to operational risk

Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon - In: Scandinavian actuarial journal 2019 (2019) 8, pp. 686-710

Persistent link: https://www.econbiz.de/10012194991

Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series

Maruotti, Antonello; Punzo, Antonio; Bagnato, Luca - In: Journal of financial econometrics 17 (2019) 1, pp. 91-117

Persistent link: https://www.econbiz.de/10012054429

Heterogeneous impacts of neighbouring farm size on the decision to exit : evidence from Brittany

Seint-Cyr, Legrand D. F.; Storm, Hugo; Heckelei, Thomas; … - In: European review of agricultural economics 46 (2019) 2, pp. 237-266

Persistent link: https://www.econbiz.de/10012058072

Aggregate claim estimation using bivariate Hidden Markov Model

Oflaz, Zarina Nukeshtayeva; Yozgatligil, Ceylan; … - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 189-215

Persistent link: https://www.econbiz.de/10012105441

On modeling left-truncated loss data using mixtures of distributions

Blostein, Martin; Miljkovic, Tatjana - In: Insurance 85 (2019), pp. 35-46

Persistent link: https://www.econbiz.de/10011990594

A marked Cox model for the number of IBNR claims : estimation and application

Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; … - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 709-739

Persistent link: https://www.econbiz.de/10012125126

Modeling credit risk with hidden Markov default intensity

Yu, Feng-Hui; Lu, Jiejun; Gu, Jia-Wen; Ching, Wai Ki - In: Computational economics 54 (2019) 3, pp. 1213-1229

Persistent link: https://www.econbiz.de/10012134519

Estimation of multivariate asset models with jumps

Ballotta, Laura; Fusai, Gianluca; Loregian, Angela; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2053-2083

Persistent link: https://www.econbiz.de/10012140059