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Full-Text Articles in Physical Sciences and Mathematics
Objective Bayesian Hypothesis Testing And Estimation For The Risk Ratio In A Correlated 2x2 Table With Structural Zero, Xiaohua Bai
All Theses
We illustrate the construction of an objective Bayesian hypothesis testing and point estimation for the risk ratio in a correlated 2x2 table with structural zero. We solve the problem using Bayesian method through the reference prior, and corresponding posterior distribution of the risk ratio can be derived. Then combined the intrinsic discrepancy, an invariant inforamtion-based loss function, provides an integrated objective Bayesian solution to both hypothesis testing and point estimation problems.
Error Covariance Matrix Estimation In High Dimensional Approximate Factor Models Using Adaptive Thresholding: A Simulation Study, Paul Chimenti
Error Covariance Matrix Estimation In High Dimensional Approximate Factor Models Using Adaptive Thresholding: A Simulation Study, Paul Chimenti
All Theses
Approximate factor models are popular in finance and economics. A key to effectively utilizing such a model is to accurately estimate the error covariance matrix. Errors related to certain predictors are expected to be correlated and this must be modeled effectively. Adaptive thresholding is a method for estimating the error covariance matrix of such a model. This method is described in detail and a simulation study sheds light on the behavior of this method under different sample sizes and parameterizations.