109 research outputs found
Partially linear censored quantile regression
Censored regression quantile (CRQ) methods provide a powerful and flexible approach to the analysis of censored survival data when standard linear models are felt to be appropriate. In many cases however, greater flexibility is desired to go beyond the usual multiple regression paradigm. One area of common interest is that of partially linear models: one (or more) of the explanatory covariates are assumed to act on the response through a non-linear function. Here the CRQ approach of Portnoy (J Am Stat Assoc 98:1001â1012, 2003) is extended to this partially linear setting. Basic consistency results are presented. A simulation experiment and unemployment example justify the value of the partially linear approach over methods based on the Cox proportional hazards model and on methods not permitting nonlinearity
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
In this paper we propose a new nonparametric approach to interacting failing
systems (FS), that is systems whose probability of failure is not negligible in
a fixed time horizon, a typical example being firms and financial bonds. The
main purpose when studying a FS is to calculate the probability of default and
the distribution of the number of failures that may occur during the
observation period. A model used to study a failing system is defined default
model. In particular, we present a general recursive model constructed by the
means of inter- acting urns. After introducing the theoretical model and its
properties we show a first application to credit risk modeling, showing how to
assess the idiosyncratic probability of default of an obligor and the joint
probability of failure of a set of obligors in a portfolio of risks, that are
divided into reliability classes
Gene set enrichment analysis for non-monotone association and multiple experimental categories
Nonâparametric regression in clustered multistate current status data with informative cluster size
Quantile regression for duration data: A reappraisal of the Pennsylvania Reemployment Bonus Experiments
Data analysis and resource allocation in Bayesian selective accelerated reliability growth
Some asymptotic properties of nonparametric regression estimators in case of randomly censored data
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