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Full-Text Articles in Statistical Methodology
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Business Faculty Publications
We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail …
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 …
Non-Parametric Estimation Of Roc Curves In The Absence Of A Gold Standard, Xiao-Hua Zhou, Pete Castelluccio, Chuan Zhou
Non-Parametric Estimation Of Roc Curves In The Absence Of A Gold Standard, Xiao-Hua Zhou, Pete Castelluccio, Chuan Zhou
UW Biostatistics Working Paper Series
In evaluation of diagnostic accuracy of tests, a gold standard on the disease status is required. However, in many complex diseases, it is impossible or unethical to obtain such the gold standard. If an imperfect standard is used as if it were a gold standard, the estimated accuracy of the tests would be biased. This type of bias is called imperfect gold standard bias. In this paper we develop a maximum likelihood (ML) method for estimating ROC curves and their areas of ordinal-scale tests in the absence of a gold standard. Our simulation study shows the proposed estimates for the …