Fiducial predictive densities and econometric duration analysis

• Main Author: YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Bayesian correspondence; Censored data; Fiducial prediction; Hazard estimate; Shortestprediction interval; Survivor function; Trans-exponential; Trans-normal; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2063; https://ink.library.smu.edu.sg/context/soe_research/article/3062/viewcontent/Yang2003Fiducial.pdf
• Institution: 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...