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  • Search: subject:"Parameter estimation uncertainty"
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Year of publication
Subject
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parameter estimation uncertainty 3 Boundary bias 2 Continuous-time model 2 Hellinger metric 2 Kernel method 2 Parameter estimation uncertainty 2 Probability integral transform 2 Quadratic form 2 Short-term interest rate 2 Transition density 2 ARL 1 Autoregressive Conditional Duration 1 Dispersion Clustering 1 European monetary policy 1 Finite Sample Correction 1 Generalized Spectral Derivative 1 Markov chain property 1 Nonlinear Time Series 1 Parameter Estimation Uncertainty 1 Wooldridge's Device 1 adverse outcomes 1 control chart 1 density forecast evaluation 1 linear quadratic stochastic control 1 medical monitoring 1 meta-factors 1 minimum effect CUSUM 1 moment test 1 patient level uncertainty 1 probability integral transformation 1 risk adjusted CUSUM 1 risk adjustment 1 risk model performance 1 risk score 1
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Online availability
All
Free 6
Type of publication
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Book / Working Paper 4 Article 2
Type of publication (narrower categories)
All
Report 1 Thesis 1 Working Paper 1
Language
All
Undetermined 4 English 2
Author
All
Hong, Yongmiao 3 Li, Haitao 2 Lee, Yoon-Jin 1 Sahuc, Jean-Guillaume 1 Webster, Ronald A. 1 Yi‐Ting Chen 1
Institution
All
Center for Applied Economics and Policy Research (CAEPR), Department of Economics 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
All
Caepr Working Papers 1 Journal of Forecasting 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 The International Journal of Applied Economics 1
Source
All
RePEc 4 BASE 1 EconStor 1
Showing 1 - 6 of 6
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Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
Yi‐Ting Chen - In: Journal of Forecasting 30 (2011) 4, pp. 409-450
applied to the full‐sample (out‐of‐sample) DFE in the presence of parameter estimation uncertainty. We also use a simulation …
Persistent link: https://www.econbiz.de/10009146881
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Development of statistical methods for the surveillance and monitoring of adverse events which adjust for differing patient and surgical risks
Webster, Ronald A. - 2008
The research in this thesis has been undertaken to develop statistical tools for monitoring adverse events in hospitals that adjust for varying patient risk. The studies involved a detailed literature review of risk adjustment scores for patient mortality following cardiac surgery, comparison of...
Persistent link: https://www.econbiz.de/10009437853
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Detecting Misspecifications in Autoregressive Conditional Duration Models
Hong, Yongmiao; Lee, Yoon-Jin - Center for Applied Economics and Policy Research … - 2007
(0,1) distribution. To reduce the impact of parameter estimation uncertainty in finite samples, we adopt Wooldridge … better sizes in finite samples and are robust to parameter estimation uncertainty. And, it is important to take into account …
Persistent link: https://www.econbiz.de/10005727846
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Implications of Parameter Estimation Uncertainty for the Central Banker Behaviour
Sahuc, Jean-Guillaume - In: The International Journal of Applied Economics 2 (2005) 1, pp. 1-24
This paper studies the implications of parameter estimation uncertainty on the central banker behaviour. It first … parameter estimation uncertainty is covered by the introduction of the full variance-covariance matrix of the parameter …
Persistent link: https://www.econbiz.de/10004974499
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Nonparametric specification testing for continuous-time models with application to spot interest rates
Hong, Yongmiao; Li, Haitao - 2002
We propose two nonparametric transition density-based speciþcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...
Persistent link: https://www.econbiz.de/10010310588
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Cover Image
Nonparametric specification testing for continuous-time models with application to spot interest rates
Hong, Yongmiao; Li, Haitao - Sonderforschungsbereich 373, Quantifikation und … - 2002
We propose two nonparametric transition density-based speciþcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...
Persistent link: https://www.econbiz.de/10010983648
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