Search Results - subject:"delta method"

Quantile and probability curves without crossing

Chernozhukov, Victor; Fernández-Val, Iván; Galichon, … - 2007

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile. Linear functional forms, coupled with pointwise fitting, are used for a number of reasons including parsimony of the resulting approximations and good...

Persistent link: https://www.econbiz.de/10010318516

RELIABLE INFERENCE FOR THE GINI INDEX

Davidson, Russell - HAL - 2007

Although attention has been given to obtaining reliable standard errors for the plugin estimator of the Gini index, all standard errors suggested until now are either complicated or quite unreliable. An approximation is derived for the estimator by which it is expressed as a sum of IID random...

Persistent link: https://www.econbiz.de/10008793448

Marginal Effects and Significance Testing with Heckman's Sample Selection Model: A Methodological Note

Vance, Colin - 2006

, the paper presents the delta method and the nonparametric bootstrap as alternative techniques for obtaining standard …

Persistent link: https://www.econbiz.de/10010261042

Marginal Effects and Significance Testing with Heckman’s Sample Selection Model: A Methodological Note

Vance, Colin - Rheinisch-Westfälisches Institut für … - 2006

, the paper presents the delta method and the nonparametric bootstrap as alternative techniques for obtaining standard …

Persistent link: https://www.econbiz.de/10005436104

A comparison of approaches to estimating confidence intervals for willingness to pay measures

Hole, Arne Risa - Centre for Health Economics, Department of Economics … - 2006

similar results. The delta method is the most accurate when the data is well-conditioned, while the bootstrap is more robust …

Persistent link: https://www.econbiz.de/10005687306

Confidence intervals of willingness-to-pay for random coefficient logit models

Bliemer, Michiel C.J.; Rose, John M. - In: Transportation Research Part B: Methodological 58 (2013) C, pp. 199-214

preference space, ratios of random parameters. In this paper we apply the Delta method to compute the confidence intervals of …. The same Delta method can be applied when the model is estimated in WTP space. Compared to simulation methods such as … proposed by Krinsky and Robb, the Delta method is able to avoid most of the simulations by deriving partly analytical …

Persistent link: https://www.econbiz.de/10010730398

On the role of the estimation error in prediction of expected shortfall

Lönnbark, Carl - In: Journal of Banking & Finance 37 (2013) 3, pp. 847-853

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

Persistent link: https://www.econbiz.de/10011065737

Delta and jackknife estimators with low bias for functions of binomial and multinomial parameters

Withers, Christopher S.; Nadarajah, Saralees - In: Journal of Multivariate Analysis 118 (2013) C, pp. 138-147

An estimator is said to be of orders0 if its bias has magnitude n−s, where n is the sample size. We give delta estimators and jackknife estimators of order four for smooth functions of the parameters of a multinomial distribution. An unbiased estimator is given for its density function. We...

Persistent link: https://www.econbiz.de/10011041891

Empirical and sequential empirical copula processes under serial dependence

Bücher, Axel; Volgushev, Stanislav - In: Journal of Multivariate Analysis 119 (2013) C, pp. 61-70

Empirical and sequential empirical copula processes play a central role for statistical inference on copulas. However, as pointed out by Johan Segers [J. Segers, Asymptotics of empirical copula processes under non-restrictive smoothness assumptions, Bernoulli 18 (3) (2012) 764–782] the usual...

Persistent link: https://www.econbiz.de/10011041995

On the distribution of posterior probabilities in finite mixture models with application in clustering

Melnykov, Volodymyr - In: Journal of Multivariate Analysis 122 (2013) C, pp. 175-189

The paper discusses an approach based on the multivariate Delta method for approximating the distribution of posterior …

Persistent link: https://www.econbiz.de/10010702811