Suchergebnisse

Cover -- Title Page -- Copyright Page -- Table of Contents -- Preface -- 1: The scope of survival analysis -- 1.1 Introduction -- 1.2 The definition of failure times -- 1.3 Censoring -- 1.4 Other methods of analysis -- 1.5 Some examples -- 1.6 Computing -- Bibliographic notes, 1 -- Further results and exercises, 1 -- 2: Distributions of failure time -- 2.1 Introduction -- 2.2 Hazard function -- 2.3 Some special distributions -- 2.4 Comparison of distributions -- Bibliographic notes, 2 -- Further results and exercises, 2 -- 3: Parametric statistical analysis: single sample -- 3.1 Introduction -- 3.2 The likelihood function -- 3.3 Likelihood theory: general considerations -- 3.4 Exponentially distributed failure times -- 3.5 Proportional hazards family -- 3.6 Likelihood estimation for the Weibull distribution -- 3.7 A test for exponentiality -- Bibliographic notes, 3 -- Further results and exercises, 3 -- 4: Single-sample nonparametric methods -- 4.1 Introduction -- 4.2 Product-limit estimator -- 4.3 Greenwood's formula -- 4.4 Actuarial estimator -- 4.5 Cumulative hazard estimators: goodness of fit -- 4.6 Bayesian nonparametric methods -- Bibliographic notes, 4 -- Further results and exercises, 4 -- 5: Dependence on explanatory variables: model formulation -- 5.1 Introduction -- 5.2 Accelerated life model -- 5.3 Proportional hazards model -- 5.4 Nonmultiplicative hazard-based model -- 5.5 Transferred origin model -- 5.6 Accelerated onset model -- 5.7 Treatments with a transient effect -- 5.8 Discussion -- Bibliographic notes, 5 -- Further results and exercises, 5 -- 6: Fully parametric analysis of dependency -- 6.1 Introduction -- 6.2 Exponential distribution -- 6.3 Accelerated life model -- 6.4 Proportional hazards model -- 6.5 Sensitivity analysis -- 6.6 Some less formal methods -- Bibliographic notes, 6 -- Further results and exercises, 6

Cover -- Series Page -- Title Page -- Copyright Page -- Contents -- List of contributors -- Preface -- 1 Statistical aspects of ARCH and stochastic volatility -- 1.1 Introduction -- 1.2 ARCH -- 1.3 Stochastic volatility -- 1.4 Multivariate models -- 1.5 Option pricing with changing volatility -- 1.6 Continuous-time models -- 1.7 Concluding remarks -- 1.8 Appendix -- 1.9 Computing and data sources -- Acknowledgements -- References -- 2 Likelihood-based inference for cointegration of some nonstationary time series -- 2.1 Introduction -- 2.2 Granger's representation theorem -- 2.3 Purchasing power parity: an illustrative example -- 2.4 Formulation of the reduced-form error correction model and various hypotheses on the cointegrating relations -- 2.5 Estimation of cointegrating relations and calculation of test statistics -- 2.6 The empirical example continued -- 2.7 Asymptotic theory -- 2.8 Conclusion -- Acknowledgements -- References -- 3 Forecasting in macro-economics -- 3.1 Introduction -- 3.2 A framework for economic forecasting -- 3.3 Alternative methods of forecasting -- 3.4 The economic system and forecasting models -- 3.5 Measuring forecast accuracy -- 3.6 A taxonomy of forecast errors -- 3.7 Parameter constancy -- 3.8 Parameter non-constancy -- 3.9 Intercept corrections -- 3.10 Conclusions -- Acknowledgements -- References -- 4 Longitudinal panel data: an overview of current methodology -- 4.1 Introduction -- 4.2 General formulation -- 4.3 The GEE approach to longitudinal data analysis -- 4.4 Likelihood-based approaches to longitudinal data analysis -- 4.5 Estimation with incomplete data -- 4.6 Example: childhood obesity -- 4.7 Random effects models -- 4.8 Discussion -- Acknowledgements -- References -- 5 Pricing by no arbitrage -- 5.1 Introduction -- 5.2 Notation -- 5.3 The 'no arbitrage' condition.