In this paper, we consider the estimation of the three determining parameters of the efficient frontier, the expected return, and the variance of the global minimum variance portfolio and the slope parameter, from a Bayesian perspective. Their posterior distribution is derived by assigning the diffuse and the conjugate priors to the mean vector and the covariance matrix of the asset returns and is presented in terms of a stochastic representation. Furthermore, Bayesian estimates together with the standard uncertainties for all three parameters are provided, and their asymptotic distributions are established. All obtained findings are applied to real data, consisting of the returns on assets included into the S&P 500. The empirical properties of the efficient frontier are then examined in detail. 相似文献
We define the exponentiated power exponential distribution and propose a regression model with different systematic structures based on the new distribution. We show that the new regression model can be applied to dispersion data since it represents a parametric family of models that includes as sub-models some widely-known regression models. It then can be used more effectively in the analysis of real data. We use maximum likelihood estimation and derive the appropriate matrices for assessing local influence on the parameter estimates under different perturbation schemes. Some global-influence measurements are also investigated and simulation studies are performed to evaluate the accuracy of the estimates. We provide an application of the regression model with four systematic structures to nursing activities score data in the Unit of the Medical Clinic of University of São Paulo (USP) Hospital. 相似文献
In this article, we introduce tempered Mittag-Leffler Lévy processes (TMLLP). TMLLP is represented as tempered stable subordinator delayed by a gamma process. Its probability density function and Lévy density are obtained in terms of infinite series and Mittag-Leffler function, respectively. Asymptotic forms of the tails and moments are given. A step-by-step procedure of the parameters estimation and simulation of sample paths is given. We also provide main results available for Mittag-Leffler Lévy processes (MLLP) and some extensions which are not available in a collective way in a single article. Our results generalize and complement the results available on Mittag-Leffler distribution and MLLP in several directions. Further, the asymptotic forms of the moments of the first-exit times of the TMLLP are also discussed. 相似文献
We analyze a class of linear regression models including interactions of endogenous regressors and exogenous covariates. We show how to generate instrumental variables using the nonlinear functional form of the structural equation when traditional excluded instruments are unknown. We propose to use these instruments with identification robust IV inference. We furthermore show that, whenever functional form identification is not valid, the ordinary least squares (OLS) estimator of the coefficient of the interaction term is consistent and standard OLS inference applies. Using our alternative empirical methods we confirm recent empirical findings on the nonlinear causal relation between financial development and economic growth. 相似文献
Lifetime Data Analysis - CD4-based multi-state back-calculation methods are key for monitoring the HIV epidemic, providing estimates of HIV incidence and diagnosis rates by disentangling their... 相似文献
There have been many advances in statistical methodology for the analysis of recurrent event data in recent years. Multiplicative semiparametric rate-based models are widely used in clinical trials, as are more general partially conditional rate-based models involving event-based stratification. The partially conditional model provides protection against extra-Poisson variation as well as event-dependent censoring, but conditioning on outcomes post-randomization can induce confounding and compromise causal inference. The purpose of this article is to examine the consequences of model misspecification in semiparametric marginal and partially conditional rate-based analysis through omission of prognostic variables. We do so using estimating function theory and empirical studies.
We present an algorithm for learning oblique decision trees, called HHCART(G). Our decision tree combines learning concepts from two classification trees, HHCART and Geometric Decision Tree (GDT). HHCART(G) is a simplified HHCART algorithm that uses linear structure in the training examples, captured by a modified GDT angle bisector, to define splitting directions. At each node, we reflect the training examples with respect to the modified angle bisector to align this linear structure with the coordinate axes. Searching axis parallel splits in this reflected feature space provides an efficient and effective way of finding oblique splits in the original feature space. Our method is much simpler than HHCART because it only considers one reflected feature space for node splitting. HHCART considers multiple reflected feature spaces for node splitting making it more computationally intensive to build. Experimental results show that HHCART(G) is an effective classifier, producing compact trees with similar or better results than several other decision trees, including GDT and HHCART trees. 相似文献
Trust is experienced almost constantly in all forms of social and interpersonal relationships, including sexual relationships, and may contribute both directly and indirectly to sexual health. The purpose of this review is to link three aspects of trust to sexual health: (1) the role of trust in sexual relationships; (2) the role of trust in sexually transmitted infection (STI) prevention, particularly condom use; and (3) the relevance of trust in sexual relationships outside of the traditional model of monogamy. The review ends with consideration of perspectives that could guide new research toward understanding the enigmas of trust in partnered sexual relations in the context of sexual and public health. 相似文献
Direct‐mail fundraisers commonly provide a set of suggested donation amounts to potential donors, in addition to a write‐in option. Standard economic models of charitable fundraising do not predict an impact of suggested amounts on charitable giving. However, our field experiments on direct‐mail solicitations to over 10,000 members of a public television station tell a different story. We find that changing one of the suggested amounts in an ask string from $100 to $95 reduces the number of gifts greater than or equal to $90 by more than 30%. This contrasts with our finding that in three independent comparisons, increasing the entire vector of suggested amounts by 20%–40% reduces the probability of giving by approximately 15%, with little effect on the average size of the gift. Both manipulations lead to a larger proportion of write‐in donations, even as they reduce the number of total gifts. We propose a simple behavioral theory to explain the data: many donors prefer to give round numbers, and donors incur a cognitive cost when choosing to give a nonsuggested amount. (JEL C9, H4) 相似文献