Fiducial predictive densities and econometric duration analysis
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2003
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |