Goodness-of-fit criteria for survival data

The definition of an appropriate measure for goodness-of-fit in case of survival data comparable to R^2 in linear regression is difficult due to censored observations. In this paper, a variety of answers based on different residuals and variance of survival curves are presented together with a newly introduced criterion. In univariate simulation studies, the presented criteria are examined with respect to their dependence on the value of the coefficient associated with the covariate; underlying covariate distribution and censoring percentage in the data. Investigation of the relations between the values of the different criteria indicates strong dependencies, although the absolute values show high discrepancies and the criteria building processes differ substantially

Development of a fretting-fatigue mapping concept: The effect of material properties and surface treatments

Fretting-fatigue induced by combined localized cyclic contact motion and external bulk fatigue loadings may result in premature and dramatic failure of the contacting components. Depending on fretting and fatigue loading conditions, crack nucleation and possibly crack propagation can be activated. This paper proposes a procedure for estimating these two damage thresholds. The crack nucleation boundary is formalized by applying the Crossland high cycle fatigue criterion, taking into account the stress gradient and the ensuing #size##effect#. The prediction of the crack propagation condition is formalized using a short crack arrest description. Applied to an AISI 1034 steel, this methodology allows the development of an original material response fretting-fatigue map (FFM). The impact of material properties and surface treatments is investigated

Estimation of extended mixed models using latent classes and latent processes: the R package lcmm

The R package lcmm provides a series of functions to estimate statistical models based on linear mixed model theory. It includes the estimation of mixed models and latent class mixed models for Gaussian longitudinal outcomes (hlme), curvilinear and ordinal univariate longitudinal outcomes (lcmm) and curvilinear multivariate outcomes (multlcmm), as well as joint latent class mixed models (Jointlcmm) for a (Gaussian or curvilinear) longitudinal outcome and a time-to-event that can be possibly left-truncated right-censored and defined in a competing setting. Maximum likelihood esimators are obtained using a modified Marquardt algorithm with strict convergence criteria based on the parameters and likelihood stability, and on the negativity of the second derivatives. The package also provides various post-fit functions including goodness-of-fit analyses, classification, plots, predicted trajectories, individual dynamic prediction of the event and predictive accuracy assessment. This paper constitutes a companion paper to the package by introducing each family of models, the estimation technique, some implementation details and giving examples through a dataset on cognitive aging

Stock Price Dynamics and Option Valuations under Volatility Feedback Effect

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.Comment: 23 pages, 7 figures, 2 table