Search Results - subject:"sequential testing"

A Principal-Agent Model of Sequential Testing

Gerardi, Dino; Maestri, Lucas - Collegio Carlo Alberto, Università degli Studi di Torino - 2009

This paper analyzes the optimal provision of incentives in a sequential testing context. In every period the agent can …

Persistent link: https://www.econbiz.de/10005013032

Parameter estimation : the proper way to use Bayesian posterior processes with Brownian noise

Cohen, Asaf - In: Mathematics of operations research 40 (2015) 2, pp. 361-389

Persistent link: https://www.econbiz.de/10011282701

Sequential change point detection in linear quantile regression models

Zhou, Mi; Wang, Huixia Judy; Tang, Yanlin - In: Statistics & Probability Letters 100 (2015) C, pp. 98-103

We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

Persistent link: https://www.econbiz.de/10011263152

Discordancy tests for two-parameter exponential samples

Lin, Chien-Tai; Wang, Shih-Chun - In: Statistical Papers 56 (2015) 2, pp. 569-582

">2009</CitationRef>), the critical values of the joint null distributions of these test statistics for sequential testing discordancy of …

Persistent link: https://www.econbiz.de/10011241325

Sequential detection of gradual changes in the location of a general stochastic process

Timmermann, Hella - In: Statistics & Probability Letters 99 (2015) C, pp. 85-93

We present monitoring procedures for a class of general stochastic processes which exhibit a possible gradually increasing or decreasing perturbation in their otherwise linear drift term. The suggested detectors are based on weighted increments of the process for which we derive asymptotic...

Persistent link: https://www.econbiz.de/10011208311

A Principal-Agent Model of Sequential Testing

Gerardi, Dino; Maestri, Lucas - Cowles Foundation for Research in Economics, Yale University - 2008

This paper analyzes the optimal provision of incentives in a sequential testing context. In every period the agent can …

Persistent link: https://www.econbiz.de/10005593245

TVICA—Time varying independent component analysis and its application to financial data

Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang K. - In: Computational Statistics & Data Analysis 74 (2014) C, pp. 95-109

A new method of ICA, TVICA, is proposed. Compared to the conventional ICA, the TVICA method allows the mixing matrix to be time dependent. Estimation is conducted under local homogeneity that assumes at any particular time point, there exists an interval over which the mixing matrix can be well...

Persistent link: https://www.econbiz.de/10011056426

An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems

Belomestny, Denis; Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

, Asian option, Russian option, Bayesian sequential testing problem, disorder detection problem. 1 … American put and Asian options in Black-Scholes models as well as on the flnite horizon Bayesian sequential testing and … Wiener sequential testing problem with flnite horizon [29; Chapter IV, Section 3], [6]). Suppose that in (2.2) we have G …

Persistent link: https://www.econbiz.de/10005784858

Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions

Strikholm, Birgit; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005

selection criterion, nonlinear modelling, sequential testing, switching regression. JEL Classification Code: C22, C51 ∗This … asymptotic theory for inference. Hansen (1999a) suggested a sequential testing approach to the regime selection problem. This …

Persistent link: https://www.econbiz.de/10005649220

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit; Teräsvirta, Timo - 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10010281439