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LASSO-type penalization in the framework of generalized additive models for location, scale and shape
Groll, Andreas; Hambuckers, Julien; Kneib, Thomas; … - 2018
models for distributional regression is the generalized additive model for location, scale and shape (GAMLSS). In high … dimensional data set-ups classical fitting procedures for the GAMLSS often become rather unstable and methods for variable … GAMLSS. It is designed for linear covariate effects and is based on L1-type penalties. The following three penalization …
Persistent link: https://www.econbiz.de/10011930753
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Vulnerability to poverty revisited : flexible modeling and better predictive performance
Hohberg, Maike; Landau, Katja; Kneib, Thomas; Klasen, … - 2017
This paper analyzes several modifications to improve a simple measure of vulnerability as expected poverty. Firstly, in order to model income, we apply distributional regression relating potentially each parameter of the conditional income distribution to the covariates. Secondly, we determine...
Persistent link: https://www.econbiz.de/10011743759
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Frequentist Methods for Statistical Inference
Kaye, David H. - 2020
Statistical inference can be described as the process of drawing conclusions about a population or process based on sample data. This chapter outlines the logic of “classical” or “frequentist” methods for such inference. Three commonly used concepts for assessing statistical error are...
Persistent link: https://www.econbiz.de/10014100750
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Generalized information matrix tests for detecting model misspecification
Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...
Persistent link: https://www.econbiz.de/10011650480
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Permutation tests on returns to scale and common production frontiers in nonparametric models
Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2022
Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...
Persistent link: https://www.econbiz.de/10013338075
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The phantom menace of omitted variables : a comment
Ritter, Nolan; Vance, Colin - 2011
Das vorliegende Papier zeigt, dass das Hinzufügen einer zusätzlichen Kontrollvariablen in eine Regressionsanalyse die …
Persistent link: https://www.econbiz.de/10009580263
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Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing
Giuricich, Mario - 2017
We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using weak convergence of compound renewal processes to Lévy...
Persistent link: https://www.econbiz.de/10012955395
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A multivariate hidden semi-Markov model of customer-multichannel engagement
Sikdar, Sharmistha; Hooker, Giles - 2019
In multichannel retailing, customers often use a mix of a firm's online and physical stores for their search and buy activities. We define the customer's “channel engagement” as a latent attitude or predisposition towards the firm's online and offline channels which dynamically transitions...
Persistent link: https://www.econbiz.de/10012244850
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Modelling of Left-Truncated Heavy-Tailed Data with Application to Catastrophe Bond Pricing
Giuricich, Mario - 2019
In this article, we build on Chernobai et al. [1]'s procedure for modelling left-truncated data via a compound non-homogeneous Poisson process. The contribution we make is that we modify the fitting process introduced so that it is systematically applicable in the context of data that is not...
Persistent link: https://www.econbiz.de/10012901830