Analytically Calibrated Box-Cox Percentile Limits for Duration and Event-Time Models

Analytically Calibrated Box-Cox Percentile Limits for Duration and Event-Time Models

This paper proposes a unified approach to constructing confidence limits for a future percentile duration or event-time. The construction is based on an analytical calibration of the Box-Cox-type “plug-in” percentile limits (PL). The performance of the calibrated Box-Cox PL is investigated using Mon...

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Bibliographic Details
Main Authors: YANG, Zhenlin, TSUI, Albert K.C.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Analytical calibration
Box-Cox transformation
Duration model
Event-time model
Percentile limits
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/191
https://ink.library.smu.edu.sg/context/soe_research/article/1190/viewcontent/YangTsui_IME2004.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/191
https://ink.library.smu.edu.sg/context/soe_research/article/1190/viewcontent/YangTsui_IME2004.pdf

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