Maximum Likelihood Inference for Multivariate Frailty Models Using an Automated Monte Carlo EM Algorithm

We present a maximum likelihood estimation procedure for the multivariate frailty model. The estimation is based on a Monte Carlo EM algorithm. The expectation step is approximated by averaging over random samples drawn from the posterior distribution of the frailties using rejection sampling. The maximization step reduces to a standard partial likelihood maximization. We also propose a simple rule based on the relative change in the parameter estimates to decide on sample size in each iteration and a stopping time for the algorithm. An important new concept is acquiring absolute convergence of the algorithm through sample size determination and an efficient sampling technique. The method is illustrated using a rat carcinogenesis dataset and data on vase lifetimes of cut roses. The estimation results are compared with approximate inference based on penalized partial likelihood using these two examples. Unlike the penalized partial likelihood estimation, the proposed full maximum likelihood estimation method accounts for all the uncertainty while estimating standard errors for the parameters.     

Gedanken zum Charisma-Diskurs in der Führungsforschung Braucht die Unternehmensführung Kompetenz in Zwischenmenschlichkeit oder Charisma?

Considerations on Charisma in Leadership research An African caravan leader as described in an ethnological report corresponds in no ways to Western ideals of a leader with eloquence and brightness. What is now the structure of leading and being led? Philosophical, sociological and psychological ideas are discussed in trying to answer to the question. Max Weber’s notion of power (today leadership) contains, among others, the concept of charisma, which he describes explicitly as being “outside of economy”. Therefore, the application of the enigmatic term of charisma is questionable. It is recommended to refer to group dynamics as a whole rather than applying selected concepts of psychoanalysis, such as narcissism, in order to understand and describe interaction in leadership of companies and institutions.     

Maintaining your immune system--one method for enhanced longevity

The immune system is an important evolutionary invention to battle invaders in young and old organisms. Successful aging in humans who achieve nonagenarian status and beyond depends on how the immune system changes over time. Whether certain immune parameters vary with increased age is influenced by the genotype and lifestyle of the individual.     

Second-order biases of the maximum likelihood estimates in von Mises regression models

This paper discusses issues related to the improvement of maximum likelihood estimates in von Mises regression models. It obtains general matrix expressions for the second-order biases of maximum likelihood estimates of the mean parameters and concentration parameters. The formulae are simple to compute, and give the biases by means of weighted linear regressions. Simulation results are presented assessing the performance of corrected maximum likelihood estimates in these models.     

A note on corporate valuation using imprecise cost of capital

We compare the estimator for discount rates according to Elsner and Krumholz (EK) (J Bus Econ 83:985–1014, 2013) to the approach propagated in Breuer et al. (BFM) (Eur J Financ 20:568–594, 2014). While the EK estimator is derived analytically and implies a correcting factor by which the original arithmetic mean estimator is adjusted, the BFM approach is based on a simple ad hoc modification and recommends to truncate the time horizon for cash flow projection up to about N = 30 years. The BFM approach is reasonable, as the most relevant bias problems are implied by terminal value computations. Rather surprisingly, for our main simulation analysis based on real-world capital market data for 19 countries over the period 2008–2012, the EK estimator turns out inferior to the BFM approach. However, results depend on the kind of bias measure and on the issue of whether using total historical returns or only excess returns for evaluation purposes. In any case, our findings imply that a rather straightforward rule of thumb for valuation may be of value to practitioners: ‘stick to the simple arithmetic mean estimator without terminal value computation, but consider future cash flows up to a time horizon of about 30 years’.     

Money Does Not Induce Risk Neutral Behavior,but Binary Lotteries Do even Worse

If payoffs are tickets for binary lotteries, which involve only two money prizes, then rationality requires expected value maximization in tickets. This payoff scheme was increasingly used to induce risk neutrality in experiments. The experiment presented here involved lottery choice and evaluation tasks. One subject group was paid in binary lottery tickets, another directly in money. Significantly greater deviations from risk neutral behavior are observed with binary lottery payoffs. This discrepancy increases when subjects have easy access to the alternatives' expected values and mean absolute deviations. Behavioral regularities are observed at least as often as with direct money payoffs.