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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272421
Description: Credit ratings and accounting-based Altman Z-scores are two important sources of information for assessing the creditworthiness of firms. In this paper we build a model based on a double hidden Markov ... More
Reviewed: Reviewed
Authors: Marschner, Ian C
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/332098
Description: The complete-data model that underlies an Expectation-Maximization (EM) algorithm must have a parameter space that coincides with the parameter space of the observed-data model. Otherwise, maximizatio ... More
Reviewed: Reviewed
Authors: Fan, Kun
Date: 2012
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/204020
Description: Purpose: Investigating the valuation of dynamic fund protection under hidden Markov models Originality: Compared with traditional put options, dynamic fund protection (DFP) plans protect investors fro ... More
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/176317
Description: Relative risks (RRs) are generally considered preferable to odds ratios in prospective studies. However, unlike logistic regression for odds ratios, the standard log-binomial model for RR regression d ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/163384
Description: We consider the portfolio selection problem of a member of a defined contribution pension plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, hidden Markov chain wh ... More
Reviewed: Reviewed
Authors: Ma, Jun
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/130584
Description: Many practical problems involve density estimation from indirect observations and they are classified as indirect density estimation problems. For example, image deblurring and image reconstruction in ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143451
Description: We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102459
Description: We study a mean-variance portfolio selection problem under a hidden Markovian regime-switching Black–Scholes–Merton economy. Under this model, the appreciation rate of a risky share is modulated by a ... More
Reviewed: Reviewed
Authors: Marschner, Ian C
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114778
Description: Identity link Poisson regression is useful when the mean of a count variable depends additively on a collection of predictor variables. It is particularly important in epidemiology, for modeling absol ... More
Reviewed: Reviewed
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