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Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)

Arvin Paul B. Sumobay, Arnulfo P. Supe (2014)

Discussiones Mathematicae Probability and Statistics

Structural change for the Koyck Distributed Lag Model is analyzed through the Bayesian approach. The posterior distribution of the break point is derived with the use of the normal-gamma prior density and the break point, ν, is estimated by the value that attains the Highest Posterior Probability (HPP). Simulation study is done using R. Given the parameter values ϕ = 0.2 and λ = 0.3, the full detection of the structural change when σ² = 1 is generally attained at ν + 1. The after...

Bayesian joint modelling of the mean and covariance structures for normal longitudinal data.

Edilberto Cepeda-Cuervo, Vicente Nunez-Anton (2007)

SORT

We consider the joint modelling of the mean and covariance structures for the general antedependence model, estimating their parameters and the innovation variances in a longitudinal data context. We propose a new and computationally efficient classic estimation method based on the Fisher scoring algorithm to obtain the maximum likelihood estimates of the parameters. In addition, we also propose a new and innovative Bayesian methodology based on the Gibbs sampling, properly adapted for longitudinal...

Bayesian methods in hydrology: a review.

David Ríos Insua, Raquel Montes Díez, Jesús Palomo Martínez (2002)

RACSAM

Hydrology and water resources management are inherently affected by uncertainty in many of their involved processes, including inflows, rainfall, water demand, evaporation, etc. Statistics plays, therefore, an essential role in their study. We review here some recent advances within Bayesian statistics and decision analysis which will have a profound impact in these fields.

Bayesian stopping rule in discrete parameter space with multiple local maxima

Miroslav Kárný (2019)

Kybernetika

The paper presents the stopping rule for random search for Bayesian model-structure estimation by maximising the likelihood function. The inspected maximisation uses random restarts to cope with local maxima in discrete space. The stopping rule, suitable for any maximisation of this type, exploits the probability of finding global maximum implied by the number of local maxima already found. It stops the search when this probability crosses a given threshold. The inspected case represents an important...

Bayesian survival analysis based on the Rayleigh model.

Samir K. Bhattacharya, K. Tyagi Ravinder (1990)

Trabajos de Estadística

In this paper, the Bayesian analysis of the survival data arising from a Rayleigh model is carried out under the assumption that the clinical study based on n patients is terminated at the dth death, for some preassigned d (0 < d ≤ n), resulting in the survival times t1 ≤ t2 ≤ ... ≤ td, and (n - d) survivors. For the prior knowledge about the Rayleigh parameter, the gamma density, the inverted gamma density, and the beta density of the second kind are respectively assumed, and for each of...

Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence

Carole Bernard, Yuntao Liu, Niall MacGillivray, Jinyuan Zhang (2013)

Dependence Modeling

Nelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula when its values on a compact subset of [0; 1]2 are known. He shows that they are quasi-copulas and not necessarily copulas. Tankov [25] and Bernard et al. [3] both give sufficient conditions for these bounds to be copulas. In this note we give weaker...

Bregman superquantiles. Estimation methods and applications

T. Labopin-Richard, F. Gamboa, A. Garivier, B. Iooss (2016)

Dependence Modeling

In thiswork,we extend some parameters built on a probability distribution introduced before to the casewhere the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile (thatwe can connect with severalworks in economy, see for example [18] or [9]). Axioms of a coherent measure of risk discussed previously (see [31] or [3]) are studied in the case of Bregman superquantile. Furthermore,we deal with asymptotic properties of...

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