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Articles 61 - 62 of 62
Full-Text Articles in Statistics and Probability
The Analysis Of Placement Values For Evaluating Discriminatory Measures, Margaret S. Pepe, Tianxi Cai
The Analysis Of Placement Values For Evaluating Discriminatory Measures, Margaret S. Pepe, Tianxi Cai
UW Biostatistics Working Paper Series
The idea of using measurements such as biomarkers, clinical data, or molecular biology assays for classification and prediction is popular in modern medicine. The scientific evaluation of such measures includes assessing the accuracy with which they predict the outcome of interest. Receiver operating characteristic curves are commonly used for evaluating the accuracy of diagnostic tests. They can be applied more broadly, indeed to any problem involving classification to two states or populations (D = 0 or D = 1). We show that the ROC curve can be interpreted as a cumulative distribution function for the discriminatory measure Y in the …
Some Statistical Models For Durations And Their Applications In Finance, Harry Zheng, David E. Allen, Lyn C. Thomas
Some Statistical Models For Durations And Their Applications In Finance, Harry Zheng, David E. Allen, Lyn C. Thomas
Research outputs pre 2011
We first consider a new class of time series models (introduced by Engle and Russell (1998)) use in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes. This new class of time series models is called Autoregressive Conditional Duration (ACD) models. Various extensions and the statistical properties of this class of ACD models are given. We also suggest some alternative models for durations arising from the market microstructure literature. An estimation procedure is discussed. The theory is illustrated …