Search Results - subject:"conditional distributions"

Macroeconomic and financial risks : a tale of mean and volatility

Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021

Persistent link: https://www.econbiz.de/10012700481

The One-way Fubini Property and Conditional Independence : an equivalence result

Hammond, Peter J.; Sun, Yeneng - 2019 - Revised July 2019

Persistent link: https://www.econbiz.de/10012267179

Breaking the bank? : a probabilistic assessment of euro area bank profitability

Elekdaǧ, Selim Ali; Malik, Sheheryar; Mitra, Srobona - 2019

profitability. However, the estimated conditional distributions reveal that, while higher growth would raise profits on average, a …

Persistent link: https://www.econbiz.de/10012154822

Joint Distribution of Minimum of N Iid Exponential Random Variables and Poisson Marginal

Al-Obaidi, Ali Hussein Mahmood - In: Journal of Asian Scientific Research 3 (2013) 3, pp. 337-343

stochastic representations. Our results include explicit formulas for marginal and conditional distributions, moments and moments …

Persistent link: https://www.econbiz.de/10010641436

Conditional parameter estimates from mixed logit models: Distributional assumptions and a free software tool

Hess, Stephane - In: Journal of Choice Modelling 3 (2010) 2, pp. 134-152

of a freeware software tool that allows users to compute conditional distributions independently of the software used … have on the results obtained with conditional distributions. Here, an application using stated choice data collected in … Denmark shows that while the move from unconditional to conditional distributions possibly brings results closer together …

Persistent link: https://www.econbiz.de/10010289566

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

Dunbar, Kwamie; Edwards, Albert J. - 2007

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since...

Persistent link: https://www.econbiz.de/10009430120

1.010 Uncertainty in Engineering, Fall 2004

Veneziano, Daniele - 2004

This undergraduate class serves as an introduction to probability and statistics, with emphasis on engineering applications. The first segment discusses events and their probability, Bayes' Theorem, discrete and continuous random variables and vectors, univariate and multivariate distributions,...

Persistent link: https://www.econbiz.de/10009432180

Kernel Estimation of Multivariate Conditional Distributions

Racine, Jeff; Li, Qi; Zhu, Xi - In: Annals of Economics and Finance 5 (2004) 2, pp. 211-235

We consider the problem of estimating conditional probability distributions that are multivariate in both the conditioned and conditioning variable sets. This is an extension of Hall, Racine, and Li (forthcoming), who considered the case of a univariate conditioned variable but who also...

Persistent link: https://www.econbiz.de/10009149991

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - 2003

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...

Persistent link: https://www.econbiz.de/10010263212

Consequences of Specification Error for Distributional Analysis With an Application to Intergenerational Mobility

D. O’NEILL; SWEETMAN, O.; GAER, D. VAN DE - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2002

We analyze the consequences of three types of specification error for conditional distribution functions F (y|a): measurement error in y, measurement error in a and omitted conditioning variables. The paper uses exact results to obtain conditions under which the effect of the misspecification on...

Persistent link: https://www.econbiz.de/10004982842