Fiducial predictive densities and econometric duration analysis

• 主要作者: YANG, Zhenlin
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2003
• 主題: Bayesian correspondence; Censored data; Fiducial prediction; Hazard estimate; Shortestprediction interval; Survivor function; Trans-exponential; Trans-normal; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/2063; https://ink.library.smu.edu.sg/context/soe_research/article/3062/viewcontent/Yang2003Fiducial.pdf
• 機構: Singapore Management University

In this article, we propose using fiducial predictive density (FPD) as a density estimate, which leads naturally to estimators of survivor and hazard functions and provides a simple way of constructing shortest prediction intervals. This approach is studied in detail in the context of two flexible d...