This paper considers the problem of defining a time-dependent nonparametric prior for use in Bayesian nonparametric modelling of time series. A recursive construction allows the definition of priors whose marginals have a general stick-breaking form. The processes with Poisson-Dirichlet and...

This edited volume features cutting-edge topics from the leading researchers in the areas of latent variable modeling. Content highlights include coverage of approaches dealing with missing values, semi-parametric estimation, robust analysis, hierarchical data, factor scores, multi-group...

This edited volume features cutting-edge topics from the leading researchers in the areas of latent variable modeling. Content highlights include coverage of approaches dealing with missing values, semi-parametric estimation, robust analysis, hierarchical data, factor scores, multi-group...

Tremendous growth in the credit industry has spurred the need for Credit Scoring and Its Applications, the only book that details the mathematical models that help creditors make intelligent credit risk decisions.Creditors of all types make risk decisions every day, often haphazardly. This book...

Erev and Roth (1998) among others provide a comprehensive analysis of experimental evidence on learning in games, based on a stochastic model of learning that accounts for two main elements: the Law of Effect (positive reinforcement of actions that perform well) and the Power Law of Practice...

We discuss the impact of misspecifying fully parametric proportional hazards and accelerated life models. For the uncensored case, misspecified accelerated life models give asymptotically unbiased estimates of covariate effect, but the shape and scale parameters depend on the misspecification....

In two-group discriminant analysis, the Neyman-Pearson Lemma establishes that the ROC, receiver operating characteristic, curve for an arbitrary linear function is everywhere below the ROC curve for the true likelihood ratio. The weighted area between these two curves can be used as a risk...

This paper focuses on the implications of different monetary regimes for short- and long-run price uncertainty. We derive. expressions for the relative variance of short- and long-run uncertainty under price level targeting and price drift regimes and measure the relative size of these...

Voting Power Indices enable the analysis of the distribution of power in a legislature or voting body in which different members have different numbers of votes. Although this approach to the measurement of power, based on co-operative game theory, has been known for a long time its empirical...

In this paper,a method is introduced for approximating the likelihood for the unknown parameters of a state space model.The approximation converges to the true likelihood as the simulation size goes to infinity. In addition,the approximating likelihood is continuous as a function of the unknown...