23,822 research outputs found
Hybrid model using logit and nonparametric methods for predicting micro-entity failure
Following the calls from literature on bankruptcy, a parsimonious hybrid bankruptcy model is developed in this paper
by combining parametric and non-parametric approaches.To this end, the variables with the highest predictive power to
detect bankruptcy are selected using logistic regression (LR). Subsequently, alternative non-parametric methods
(Multilayer Perceptron, Rough Set, and Classification-Regression Trees) are applied, in turn, to firms classified as
either “bankrupt” or “not bankrupt”. Our findings show that hybrid models, particularly those combining LR and
Multilayer Perceptron, offer better accuracy performance and interpretability and converge faster than each method
implemented in isolation. Moreover, the authors demonstrate that the introduction of non-financial and macroeconomic
variables complement financial ratios for bankruptcy prediction
Prediction of remaining life of power transformers based on left truncated and right censored lifetime data
Prediction of the remaining life of high-voltage power transformers is an
important issue for energy companies because of the need for planning
maintenance and capital expenditures. Lifetime data for such transformers are
complicated because transformer lifetimes can extend over many decades and
transformer designs and manufacturing practices have evolved. We were asked to
develop statistically-based predictions for the lifetimes of an energy
company's fleet of high-voltage transmission and distribution transformers. The
company's data records begin in 1980, providing information on installation and
failure dates of transformers. Although the dataset contains many units that
were installed before 1980, there is no information about units that were
installed and failed before 1980. Thus, the data are left truncated and right
censored. We use a parametric lifetime model to describe the lifetime
distribution of individual transformers. We develop a statistical procedure,
based on age-adjusted life distributions, for computing a prediction interval
for remaining life for individual transformers now in service. We then extend
these ideas to provide predictions and prediction intervals for the cumulative
number of failures, over a range of time, for the overall fleet of
transformers.Comment: Published in at http://dx.doi.org/10.1214/00-AOAS231 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Dynamic Modeling and Statistical Analysis of Event Times
This review article provides an overview of recent work in the modeling and
analysis of recurrent events arising in engineering, reliability, public
health, biomedicine and other areas. Recurrent event modeling possesses unique
facets making it different and more difficult to handle than single event
settings. For instance, the impact of an increasing number of event occurrences
needs to be taken into account, the effects of covariates should be considered,
potential association among the interevent times within a unit cannot be
ignored, and the effects of performed interventions after each event occurrence
need to be factored in. A recent general class of models for recurrent events
which simultaneously accommodates these aspects is described. Statistical
inference methods for this class of models are presented and illustrated
through applications to real data sets. Some existing open research problems
are described.Comment: Published at http://dx.doi.org/10.1214/088342306000000349 in the
Statistical Science (http://www.imstat.org/sts/) by the Institute of
Mathematical Statistics (http://www.imstat.org
A Review of Bankruptcy Prediction Studies: 1930-Present
One of the most well-known bankruptcy prediction models was developed by Altman [1968] using multivariate discriminant analysis. Since Altman\u27s model, a multitude of bankruptcy prediction models have flooded the literature. The primary goal of this paper is to summarize and analyze existing research on bankruptcy prediction studies in order to facilitate more productive future research in this area. This paper traces the literature on bankruptcy prediction from the 1930\u27s, when studies focused on the use of simple ratio analysis to predict future bankruptcy, to present. The authors discuss how bankruptcy prediction studies have evolved, highlighting the different methods, number and variety of factors, and specific uses of models.
Analysis of 165 bankruptcy prediction studies published from 1965 to present reveals trends in model development. For example, discriminant analysis was the primary method used to develop models in the 1960\u27s and 1970\u27s. Investigation of model type by decade shows that the primary method began to shift to logit analysis and neural networks in the 1980\u27s and 1990\u27s. The number of factors utilized in models is also analyzed by decade, showing that the average has varied over time but remains around 10 overall.
Analysis of accuracy of the models suggests that multivariate discriminant analysis and neural networks are the most promising methods for bankruptcy prediction models. The findings also suggest that higher model accuracy is not guaranteed with a greater number of factors. Some models with two factors are just as capable of accurate prediction as models with 21 factors
A Multi-Step Forecast Density
This paper makes two contribution to the literature on density forecasts. First, we propose a novel bootstrap approach to estimate forecasting densities based on nonparametric techniques. The method is based on the Markov Bootstrap that is suitable to resample dependent data. The combination of nonparametric and bootstrap methods delivers density forecasts that are flexible in capturing markovian dependence (linear and nonlinear) occurring in any moment of the distribution. Second, we improve the testing approach to evaluate density forecasts by considering a set of tests for dynamical misspecification such as autocorrelation, heteroskedasticity and neglected nonlinearity. The approach is useful because rejections of the tests give insights into ways to improve the forecasting model. By Monte Carlo simulations we show that the proposed evaluation strategy has much higher power to detect misspecification of the density forecasts compared to previous analysis. The proposed nonparametric-bootstrap forecasting method exhibits the ability to capture correctly the dynamics of linear and nonlinear time series models. We also investigate the performance at higher orders and propose methods to deal with the \u201ccurse of dimensionality\u201d. Finally, we empirically investigate the relevance of the method in out-of-sample forecasting the density of 3 business cycles variables for the US: real GDP, the Coincident Indicator and Industrial Production. The results indicate that the method gives reliable density forecasts for all variables and performs better compared to parametric forecasting methods.
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