Banks could achieve substantial improvements of their portfolio credit risk assessment by estimating rating transition matrices within a time-continuous Markov model, thereby using continuous-time rating transitions provided by internal rating systems instead of discrete-time rating information. A non-parametric test for the hypothesis of time-homo...
In this paper, we have presented the second level nesting of Bonney’s disposition model (Bonney, 1998) and examined the implications of higher level nesting of the disposition model in relation to the dimension of the parameter space. We have also compared the performance of the disposition model with Cox’s regression model (Cox, 1972). It has been...
Published in Annals of the Institute of Statistical Mathematics
A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical time series. We show that under some reasonable assumptions, the asymptotic distribution of the power divergence family of go...
Published in Lifetime Data Analysis
Thispaper considers the stratified proportional hazards model witha focus on the assessment of stratum effects. The assessmentof such effects is often of interest, for example, in clinicaltrials. In this case, two relevant tests are the test of stratuminteraction with covariates and the test of stratum interactionwith baseline hazard functions. For...
Published in Lifetime Data Analysis
The proportional hazards (Cox) model is generalized by assuming that at any moment the ratio of hazard rates is depending not only on values of covariates but also on resources used until this moment. Relations with generalized multiplicative, frailty and linear transformation models are considered. A modified partial likelihood function is propose...
Troxel, Lipsitz, and Brennan (1997, Biometrics 53, 857-869) considered parameter estimation from survey data with nonignorable nonresponse and proposed weighted estimating equations to remove the biases in the complete- case analysis that ignores missing observations. This paper suggests two alternative modifications for unbiased estimation of regr...
Troxel, Lipsitz, and Brennan (1997, Biometrics 53, 857-869) considered parameter estimation from survey data with nonignorable nonresponse and proposed weighted estimating equations to remove the biases in the complete-case analysis that ignores missing observations. This paper suggests two alternative modifications for unbiased estimation of regre...
