Applied modeling techniques and data analysis 2 financial, demographic, stochastic and statistical models and methods

Detalles Bibliográficos
Otros Autores:	Dimotikalis, Yiannis, editor (editor)
Formato:	Libro electrónico
Idioma:	Inglés
Publicado:	Hoboken, New Jersey : Wiley [2021]
Materias:	Data mining.
Ver en Biblioteca Universitat Ramon Llull:	https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009644256306719

Tabla de Contenidos:

Cover
Half-Title Page
Title Page
Copyright Page
Contents
Preface
Part 1. Financial and Demographic Modeling Techniques
Chapter 1. Data Mining Application Issues in the Taxpayer Selection Process
1.1. Introduction
1.2. Materials and methods
1.2.1. Data
1.2.2. Interesting taxpayers
1.2.3. Enforced tax recovery proceedings
1.2.4. The models
1.3. Results
1.4. Discussion
1.5. Conclusion
1.6. References
Chapter 2: Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model
2.1. Introduction
2.2. The results
2.3. Proofs
2.4. References
Chapter 3: New Dividend Strategies
3.1. Introduction
3.2. Model 1
3.3. Model 2
3.4. Conclusion and further results
3.5. Acknowledgments
3.6. References
Chapter 4: Introduction of Reserves in Self-adjusting Steering of Parameters of a Pay-As-You-Go Pension Plan
4.1. Introduction
4.2. The pension system
4.3. Theoretical framework of the Musgrave rule
4.4. Transformation of the retirement fund
4.5. Conclusion
4.6. References
Chapter 5: Forecasting Stochastic Volatility for Exchange Rates using EWMA
5.1. Introduction
5.2. Data
5.3. Empirical model
5.4. Exchange rate volatility forecasting
5.5. Conclusion
5.6. Acknowledgments
5.7. References
Chapter 6: An Arbitrage-free Large Market Model for Forward Spread Curves
6.1. Introduction and background
6.1.1. Term-structure (interest rate) models
6.1.2. Forward-rate models versus spot-rate models
6.1.3. The Heath-Jarrow-Morton framework
6.1.4. Construction of our model
6.2. Construction of a market with infinitely many assets
6.2.1. The Cuchiero-Klein-Teichmann approach
6.2.2. Adapting Cuchiero-Klein-Teichmann's results to our objective
6.3. Existence, uniqueness and non-negativity.
6.3.1. Existence and uniqueness: mild
6.3.2. Non-negativity of solutions
6.4. Conclusion and future works
6.5. References
Chapter 7: Estimating the Healthy Life Expectancy (HLE) in the Far Past: The Case of Sweden (1751-2016) with Forecasts to 2060
7.1. Life expectancy and healthy life expectancy estimates
7.2. The logistic model
7.3. The HALE estimates and our direct calculations
7.4. Conclusion
7.5. References
Chapter 8: Vaccination Coverage Against Seasonal Influenza of Workers in the Primary Health Care Units in the Prefecture of Chania
8.1. Introduction
8.2. Material and method
8.3. Results
8.4. Discussion
8.5. References
Chapter 9: Some Remarks on the Coronavirus Pandemic in Europe
9.1. Introduction
9.2. Background
9.2.1. CoV pathogens
9.2.2. Clinical characteristics of COVID-19
9.2.3. Diagnosis
9.2.4. Epidemiology and transmission of COVID-19
9.2.5. Country response measures
9.2.6. The role of statistical research in the case of COVID-19 and its challenges
9.3. Materials and analyses
9.4. The first phase of the pandemic
9.5. Concluding remarks
9.6. References
Part 2. Applied Stochastic and Statistical Models and Methods
Chapter 10. The Double Flexible Dirichlet: A Structured Mixture Model for Compositional Data
10.1. Introduction
10.1.1. The flexible Dirichlet distribution
10.2. The double flexible Dirichlet distribution
10.2.1. Mixture components and cluster means
10.3. Computational and estimation issues
10.3.1. Parameter estimation: the EM algorithm
10.3.2. Simulation study
10.4. References
Chapter 11. Quantization of Transformed Lévy Measures
11.1. Introduction
11.2. Estimation strategy
11.3. Estimation of masses and the atoms
11.4. Simulation results
11.5. Conclusion
11.6. References.
Chapter 12. A Flexible Mixture Regression Model for Bounded Multivariate Responses
12.1. Introduction
12.2. Flexible Dirichlet regression model
12.3. Inferential issues
12.4. Simulation studies
12.4.1. Simulation study 1: presence of outliers
12.4.2. Simulation study 2: generic mixture of two Dirichlet distributions
12.4.3. Simulation study 3: FD distribution
12.5. Discussion
12.6. References
Chapter 13: On Asymptotic Structure of the Critical Galton-Watson Branching Processes with Infinite Variance and Allowing Immigration
13.1. Introduction
13.2. Invariant measures of GW process
13.3. Invariant measures of GWPI
13.4. Conclusion
13.5. References
Chapter 14. Properties of the Extreme Points of the Joint Eigenvalue Probability Density Function of the Wishart Matrix
14.1. Introduction
14.2. Background
14.3. Polynomial factorization of the Vandermonde and Wishart matrices
14.4. Matrix norm of the Vandermonde and Wishart matrices
14.5. Condition number of the Vandermonde and Wishart matrices
14.6. Conclusion
14.7. Acknowledgments
14.8. References
Chapter 15: Forecast Uncertainty of the Weighted TAR Predictor
15.1. Introduction
15.2. SETAR predictors and bootstrap prediction intervals
15.3. Monte Carlo simulation
15.4. References
Chapter 16: Revisiting Transitions Between Superstatistics
16.1. Introduction
16.2. From superstatistic to transition between superstatistics
16.3. Transition confirmation
16.4. Beck's transition model
16.5. Conclusion
16.6. Acknowledgments
16.7. References
Chapter 17: Research on Retrial Queue with Two-Way Communication in a Diffusion Environment
17.1. Introduction
17.2. Mathematical model
17.3. Asymptotic average characteristics
17.4. Deviation of the number of applications in the system.
17.5. Probability distribution density of device states
17.6. Conclusion
17.7. References
List of Authors
Index
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