Search Results - subject:"EM algorithm"

Fund Rating Model Based on Finite Normal Mixture Distribution

Gao, Zhangpeng; Rahman, Shahidur; Rahman, Shafiqur - In: Review of Pacific Basin Financial Markets and Policies … 14 (2011) 01, pp. 1-33

performance groups in the model. We then employ expectation and maximization (EM) algorithm to estimate the model. Based on the …

Persistent link: https://www.econbiz.de/10008863009

Log Mean-Variance Portfolio Selection Under Regime Switching

Ishijima, Hiroshi; Uchida, Masaki - In: Asia-Pacific Financial Markets 18 (2011) 2, pp. 213-229

Persistent link: https://www.econbiz.de/10009150531

The Regime Switching Portfolios

Ishijima, Hiroshi; Uchida, Masaki - In: Asia-Pacific Financial Markets 18 (2011) 2, pp. 167-189

Persistent link: https://www.econbiz.de/10009150533

Population toxicokinetics of ethylene: Models and validation of first order assumptions on kinetic processes

Selinski, Silvia; Quinke, Barbara; Golka, Klaus; Bolt, … - 2002

The determination of toxicokinetic parameters is an essential component in the risk assessment of potential harmful chemicals. It is a key step to analyse the processes involved in the formation of DNA adducts which are connected with the development of chemical-induced cancer. A general problem...

Persistent link: https://www.econbiz.de/10010316453

Two-Level Proportional Hazards Models

Maples, Jerry J.; Murphy, Susan A.; Axinn, William G. - 2002

We extend the proportional hazards model to a two-level model with a random intercept term and random coefficients. The parameters in the multilevel model are estimated by a combination of EM and Newton-Raphson algorithms. Even for samples of 50 groups, this method produces estimators of the...

Persistent link: https://www.econbiz.de/10009477555

On the Variance Covariance Matrix of the Maximum Likelihood Estimator of a Discrete Mixture

Lanot, Gauthier - Centre for Economic Research, School of Economics and … - 2002

of the result: the acceleration of the EM algorithm and the specification testing with the information matrix test. …

Persistent link: https://www.econbiz.de/10005416695

Likelihood-based estimation of latent generalised ARCH structures

Shephard, Neil; Sentana, Gabriele Fiorentini Enrique - Department of Economics, Oxford University - 2002

chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a …

Persistent link: https://www.econbiz.de/10010820306

Population toxicokinetics of ethylene: Models and validation of first order assumptions on kinetic processes

Selinski, Silvia; Quinke, Barbara; Golka, Klaus; Bolt, … - Institut für Wirtschafts- und Sozialstatistik, … - 2002

Persistent link: https://www.econbiz.de/10010955501

A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets

Bellalah, Mondher; Lavielle, Marc - In: Multinational Finance Journal 6 (2002) 2, pp. 99-130

by the recent applications of the EM algorithm to financial data. A parametric and a nonparametric approach are proposed …

Persistent link: https://www.econbiz.de/10010937187

Likelihood-based estimation of latent generalised ARCH structures

Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002

chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a …

Persistent link: https://www.econbiz.de/10005730265