Search Results - subject:"Poisson Distribution"

Discrete time-series models when counts are unobservable

Christensen, T M; Hurn, A. S.; Lindsay, K A - National Centre for Econometric Research (NCER) - 2008

independent arrivals process usually specified in terms of a Poisson distribution. This paper extends the existing class of models … modeled either in terms of the Poisson distribution, where multiple counts may arrive in the sampling interval, or in terms of … unobserved. Arrivals of the latent counts are modeled either in terms of the Poisson distribution, where multiple counts may …

Persistent link: https://www.econbiz.de/10005416542

Discrete multivariate distributions

Vorobyev, Oleg Yu. - Volkswirtschaftliche Fakultät, … - 2008

This article brings in two new discrete distributions: multivariate Binomial distribution and multivariate Poisson … distribution. Those distributions were created in eventology as more correct generalizations of Binomial and Poisson distributions …

Persistent link: https://www.econbiz.de/10011107381

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - Institut für Volkswirtschaftslehre, … - 2008

We propose a dynamic factor model for the analysis of multivariate time series count data. Our model allows for idiosyncratic as well as common serially correlated latent factors in order to account for potentially complex dynamic interdependence between series of counts. The model is estimated...

Persistent link: https://www.econbiz.de/10005082890

Unimodal regression in the two-parameter exponential family with constant or known dispersion parameter

Pettersson, Kjell - Statistical Research Unit, Department of Economics, … - 2008

In this paper we discuss statistical methods for curve-estimation under the assumption of unimodality for variables with distributions belonging to the two-parameter exponential family with known or constant dispersion parameter. We suggest a non-parametric method based on monotonicity...

Persistent link: https://www.econbiz.de/10005644661

From Crisis to IMF-Supported Program; Does democracy impede the speed required by financial markets?

Mody, Ashoka; Saravia, Diego - International Monetary Fund (IMF) - 2008

Has the spread of democracy and political participation impeded the need for speed required by financial markets and the elevated threat of contagion across borders? We examine the time span between the onset of a financial crisis and the agreement on an IMF-supported adjustment program. This...

Persistent link: https://www.econbiz.de/10005605163

On curve estimation under order restrictions

Pettersson, Kjell - Statistical Research Unit, Department of Economics, … - 2008

Robust regression is of interest in many problems where assumptions of a parametric function may be inadequate. In this thesis, we study regression problems where the assumptions concern only whether the curve is increasing or decreasing. Examples in economics and public health are given. In a...

Persistent link: https://www.econbiz.de/10005190481

Adaptive CUSUM charts for monitoring linear drifts in Poisson rates

He, Feng; Shu, Lianjie; Tsui, Kwok-Leung - In: International Journal of Production Economics 148 (2014) C, pp. 14-20

There has been relatively less attention paid to the monitoring of linear drifts in Poisson rates. Although the conventional CUSUM charts can be used for monitoring linear drifts in Poisson rates, they often rely on the assumption of a known parameter. To get rid of this assumption, this paper...

Persistent link: https://www.econbiz.de/10010729609

Selecting stochastic mortality models for the Italian population

Biffi, Paola; Clemente, Gian - In: Decisions in Economics and Finance 37 (2014) 2, pp. 255-286

The future revision of capital requirements and a market-consistent valuation of non-hedgeable liabilities lead to an increasing attention on forecasting longevity trends. In this field, many methodologies focus on either modeling mortality or pricing mortality-linked securities (as longevity...

Persistent link: https://www.econbiz.de/10010993498

Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion

Schweer, Sebastian; Weiß, Christian H. - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 267-284

The compound Poisson INAR(1) model for time series of overdispersed counts is considered. For such CPINAR(1) processes, explicit results are derived for joint moments, for the k-step-ahead distribution as well as for the stationary distribution. It is shown that a CPINAR(1) process is strongly...

Persistent link: https://www.econbiz.de/10011056494

Compound Poisson approximations for symmetric vectors

Kruopis, Julius; Čekanavičius, Vydas - In: Journal of Multivariate Analysis 123 (2014) C, pp. 30-42

compound Poisson distribution. The characteristic function and Kerstan’s methods are used to obtain local estimates and …

Persistent link: https://www.econbiz.de/10011041928