Search Results - subject:"EM algorithm"

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

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

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

Nowcasting Belgium

de Antonio Liedo, David - 2014

This paper proposes a method that takes into account the calendar of European and Belgian intraquarterly data releases to automatically update GDP growth expectations or nowcasts in realtime. The role of surveys is well known in the nowcasting literature, but this is the first paper that has...

Persistent link: https://www.econbiz.de/10011506776

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

Movers and Stayers in the Farming Sector: Another Look at Heterogeneity in Structural Change

Saint-Cyr, Legrand D. F.; Piet, Laurent - European Association of Agricultural Economists - EAAE - 2014

The Markov chain model (MCM) has become a popular tool in the agricultural economics literature to study the impact of various drivers on the structural change of farms, including public support. In order to relax the process-homogeneity assumption underlying the MCM, we consider a mixture of...

Persistent link: https://www.econbiz.de/10011125205

The item count method for sensitive survey questions: modelling criminal behaviour

Kuha, Jouni; Jackson, Jonathan - London School of Economics (LSE) - 2014

The item count method is a way of asking sensitive survey questions which protects the anonymity of the respondents by randomization before the interview. It can be used to estimate the probability of sensitive behaviour and to model how it depends on explanatory variables. We analyse item count...

Persistent link: https://www.econbiz.de/10011126671

On the role of unobserved preference Heterogeneity in discrete choice Models of labour supply

Pacifico, Daniele - Dipartimento del Tesoro, Ministero dell'Economia e … - 2014

specifications of unobserved heterogeneity with those from a more general model that we are able to estimate through an EM algorithm …

Persistent link: https://www.econbiz.de/10010890947

Specification Analysis of International Treasury Yield Curve Factors

Pegoraro, F.; Siegel, A. F.; Tiozzo Pezzoli, L. - Banque de France - 2014

We show how to compute patterns of variation over time, both among and within countries, that determine the international term structure of interest rates, using maximum likelihood within a linear Gaussian state-space framework. The simultaneous estimation of common factors (shared by all...

Persistent link: https://www.econbiz.de/10010781568