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Full-Text Articles in Statistics and Probability
Variances For Maximum Penalized Likelihood Estimates Obtained Via The Em Algorithm, Mark Segal, Peter Bacchetti, Nicholas Jewell
Variances For Maximum Penalized Likelihood Estimates Obtained Via The Em Algorithm, Mark Segal, Peter Bacchetti, Nicholas Jewell
Mark R Segal
We address the problem of providing variances for parameter estimates obtained under a penalized likelihood formulation through use of the EM algorithm. The proposed solution represents a synthesis of two existent techniques. Firstly, we exploit the supplemented EM algorithm developed in Meng and Rubin (1991) that provides variance estimates for maximum likelihood estimates obtained via the EM algorithm. Their procedure relies on evaluating the Jacobian of the mapping induced by the EM algorithm. Secondly, we utilize a result from Green (1990) that provides an expression for the Jacobian of the mapping induced by the EM algorithm applied to a penalized …
Backcalculation Of Hiv Infection Rates, Peter Bacchetti, Mark Segal, Nicholas Jewell
Backcalculation Of Hiv Infection Rates, Peter Bacchetti, Mark Segal, Nicholas Jewell
Mark R Segal
Backcalculation is an important method of reconstructing past rates of human immunodeficiency virus (HIV) infection and for estimating current prevalence of HIV infection and future incidence of acquired immunodeficiency syndrome (AIDS). This paper reviews the backcalculation techniques, focusing on the key assumptions of the method, including the necessary information regarding incubation, reporting delay, and models for the infection curve. A summary is given of the extent to which the appropriate external information is available and whether checks of the relevant assumptions are possible through use of data on AIDS incidence from surveillance systems. A likelihood approach to backcalculation is described …
Curriculum Vitae, Tatiyana V. Apanasovich
Curriculum Vitae, Tatiyana V. Apanasovich
Tatiyana V Apanasovich
No abstract provided.
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Douglas G. Steigerwald
We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to previous microstructure model estimates, accords with nonmodel-based estimates and the related literature testing the mixture-of-distributions hypothesis. To determine if the estimates are correctly reflecting the arrival of latent information, we estimate the parameters over half-hour intervals within the day. …