Search Results - subject:"Record statistics"

Generalized exponential records: existence of maximum likelihood estimates and its comparison with transforming based estimates

Raqab, Mohammad; Sultan, Khalaf - In: METRON 72 (2014) 1, pp. 65-76

In this paper, and based on records of a sequence of iid random variables from the generalized exponential distribution, we consider the problem of the existence of the maximum likelihood estimates of the shape and scale parameters. Existence and uniqueness of the MLE’s are proved. Different...

Persistent link: https://www.econbiz.de/10011000638

Modeling record-breaking stock prices

Wergen, Gregor - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 114-133

. In both cases we try to describe the record statistics of the stock data with simple theoretical models. The daily … random walk model. Considering the autoregressive AR(1) process, we can predict the record statistics of the daily stock … prices more accurately. We also compare the stock data with simulations of the record statistics of the more complicated …

Persistent link: https://www.econbiz.de/10011060622

Identification of search models with initial condition problems

Barlevy, Gadi; Nagaraja, H. N. - 2006

This paper extends previous work on the identification of search models in which observed worker productivity is imperfectly observed. In particular, it establishes that these models remain identified even when employment histories are left-censored (i.e. we do not get to follow workers from...

Persistent link: https://www.econbiz.de/10010267291

Some unified characterization results on the generalized Pareto distributions based on generalized order statistics

Tavangar, Mahdi; Asadi, Majid - In: Metrika 75 (2012) 7, pp. 997-1007

In the present study we extend and unify some existing results in the literature on characterization of the generalized Pareto distributions based on generalized order statistics. Copyright Springer-Verlag 2012

Persistent link: https://www.econbiz.de/10010896487

Estimating Models of On-the-Job Search Using Record Statistics

Barlevy, Gadi - Society for Economic Dynamics - SED - 2004

This paper proposes a methodology for estimating job search models that does not require either functional form assumptions or ruling out the presence of unobserved variation in worker ability. In particular, building on existing results from record-value theory, a branch of statistics that...

Persistent link: https://www.econbiz.de/10005027266

Estimating Mobility Rates in Search Models with Initial Condition Problems

Barlevy, Gadi; Nagaraja, H. N. - In: Review of Economic Dynamics 13 (2010) 4, pp. 780-799

Previous empirical work on job search has proposed different approaches to estimating mobility rates assumed in models of search. However, these methods either only work for specific models of wage determination, or else require that we know the initial distribution of productivity for workers...

Persistent link: https://www.econbiz.de/10008455317