Zobrazeno 1 - 10 of 86 pro vyhledávání: '"Eric Beutner"'
1
GLS estimation and confidence sets for the date of a single break in models with trends
Autor: Eric Beutner, Yicong Lin, Stephan Smeekes
Publikováno v: Econometric Reviews, 42(2), 195-219. Taylor and Francis Ltd.
Beutner, E, Lin, Y & Smeekes, S 2023, ' GLS estimation and confidence sets for the date of a single break in models with trends ', Econometric Reviews, vol. 42, no. 2, pp. 195-219 . https://doi.org/10.1080/07474938.2023.2178088
Vrije Universiteit Amsterdam
Econometric Reviews, 42(2), 195-219. Routledge/Taylor & Francis Group
We develop a Feasible Generalized Least Squares estimator of the date of a structural break in level and/or trend. The estimator is based on a consistent estimate of a T-dimensional inverse autocovariance matrix. A cubic polynomial transformation of
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3051fd4840bc070d1c566396908e7821
https://research.vu.nl/en/publications/7923ad8c-7074-4390-bfd2-af6fe1c819df
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2
Consistent semiparametric estimators for recurrent event times models with application to virtual age models
Autor: Eric Beutner, Laurent Bordes, Laurent Doyen
Publikováno v: Beutner, E, Bordes, L & Doyen, L 2020, ' Consistent semiparametric estimators for recurrent event times models with application to virtual age models ', Bernoulli, vol. 26, no. 1, pp. 557-586 . https://doi.org/10.3150/19-BEJ1140
Bernoulli 26, no. 1 (2020), 557-586
Bernoulli
Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2020, 26 (1), pp.557-586. ⟨10.3150/19-BEJ1140⟩
Bernoulli, 26(1), 557-586. International Statistical Institute
Bernoulli, 2020, 26 (1), pp.557-586. ⟨10.3150/19-BEJ1140⟩
Accepted; International audience; Virtual age models are very useful to analyse recurrent events. Among the strengths of these models is their ability to account for treatment (or intervention) effects after an event occurrence. Despite their flexibi
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f64fe8d646a7579d4d86b24761194784
https://research.vu.nl/en/publications/de3cef04-496f-4dc2-994b-638216a9699a
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3
Akademický článek
Bootstrapping Average Value at Risk of Single and Collective Risks
Autor: Eric Beutner, Henryk Zähle
Publikováno v: Risks, Vol 6, Iss 3, p 96 (2018)
Almost sure bootstrap consistency of the blockwise bootstrap for the Average Value at Risk of single risks is established for strictly stationary β -mixing observations. Moreover, almost sure bootstrap consistency of a multiplier bootstrap for the A
Externí odkaz: https://doaj.org/article/9a29eb08aa934ea08ff911aee313da32
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5
A justification of conditional confidence intervals
Autor: Eric Beutner, Stephan Smeekes, Alexander Heinemann
Publikováno v: Electronic Journal of Statistics, 15(1), 2517-2565. Institute of Mathematical Statistics
Beutner, E, Heinemann, A & Smeekes, S 2021, ' A justification of conditional confidence intervals ', Electronic Journal of Statistics, vol. 15, no. 1, pp. 2517-2565 . https://doi.org/10.1214/21-EJS1833
© 2021, Institute of Mathematical Statistics. All rights reserved.To quantify uncertainty around point estimates of conditional objects such as conditional means or variances, parameter uncertainty has to be taken into account. Attempts to incorpora
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::954fa6cdbe633638a1cab897ab7d64b4
https://research.vu.nl/en/publications/120c540c-efb3-465e-aadc-97758bc0dff4
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6
The failure of the profile likelihood method for a large class of semi-parametric models
Autor: Eric Beutner, Laurent Doyen, Laurent Bordes
Publikováno v: Bernoulli, 23(4B), 3650-3684. International Statistical Institute
Bernoulli 23, no. 4B (2017), 3650-3684
We consider a semi-parametric model for recurrent events. The model consists of an unknown hazard rate function, the infinite-dimensional parameter of the model, and a parametrically specified effective age function. We will present a condition on th
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d389b2df95afa4a7708d16ba8cd3ff92
https://doi.org/10.3150/16-bej861
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7
Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type
Autor: Eric Beutner, Simon Reese, Jean-Pierre Urbain
Publikováno v: Insurance: Mathematics and Economics, 75, 117-125. Elsevier
The predominant way of modelling mortality rates is the lee–carter model and its many extensions. The lee–carter model and its many extensions use a latent process to forecast. These models are estimated using a two-step procedure that causes an
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::505b5756c5951e99cd71f19a72d7b69c
https://doi.org/10.1016/j.insmatheco.2017.04.006
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8
A General Framework for Prediction in Time Series Models
Autor: Eric Beutner, Alexander Heinemann, Stephan Smeekes
Publikováno v: Maastricht University
Beutner, E, Smeekes, S & Heinemann, A 2019 ' A General Framework for Prediction in Time Series Models ' arXiv.org . < https://arxiv.org/abs/1902.01622 >
In this paper we propose a general framework to analyze prediction in time series models and show how a wide class of popular time series models satisfies this framework. We postulate a set of high-level assumptions, and formally verify these assumpt
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::64598d78ef64443cc0a75813b076b6d1
https://hdl.handle.net/1871.1/0b271ab2-d4ab-468e-9b20-de61c7c165ee
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10
Multivariate testing and model-checking for generalized order statistics with applications
Autor: Stefan Bedbur, Eric Beutner, Udo Kamps
Publikováno v: Statistics, 48(6), 1297-1310. Routledge/Taylor & Francis Group
The exponential family structure of the joint distribution of generalized order statistics is utilized to establish multivariate tests on the model parameters. For simple and composite null hypotheses, the likelihood ratio test (LR test), Wald's test
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7609a760179e415bb2f1281a6cfa9286
https://doi.org/10.1080/02331888.2013.841696
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