We propose a nonlinear lter to estimate the time-varying instantaneous default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker-Planck equation (FPE) using a meshfree interpolation method, the lter performs a joint estimation of default intensities and CIR model parameters. As the FPE can account for nonlinear functions and nonGaus...

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as the reference unit or benchmark. Diversified broadly based portfolios, which include major world stock market indices, are shown to approximate the GOP. It is demonstrated that a key financial quantity is the drift of the discounted GOP, which can be expressed explici...

BACKGROUND Projection pursuit regression, multilayer feed-forward networks, multivariate adaptive regression splines and trees (including survival trees) have challenged classic multivariable models such as the multiple logistic function, the proportional hazards life table Cox model (Cox), the Poisson's model, and the Weibull's life table model to perform multivariable predictions. However, on...

BACKGROUND The aim of this study is to evaluate the association between different treatments and survival time of breast cancer patients using either standard Cox model or stratified Cox model. METHODS The study was conducted on 15830 women diagnosed with breast cancer in British Columbia, Canada. They were divided into eight groups according to patients' ages and stage of disease Either Cox'...

A common objective of biomedical cohort studies is assessing the effect of a time-varying treatment or exposure on a survival time. In the presence of time-varying confounders, marginal structural models fit using inverse probability weighting can be employed to obtain a consistent and asymptotically normal estimator of the causal effect of a time-varying treatment. This article considers estim...

We study birational transformations of certain fibtations of degree 4 del Pezzo surfaces over P, into other Mori fibre spaces, using Cox rings. We show that these Mori fibre spaces have a (relatively) big pliability although they are not rational. Our methods can be applied to study birational geometry of Mori dream spaces with low rank Cox ring.

The objective of hazards (lifetime) analysis is to advance and promote statistical science in the various applied fields that deal with lifetime (survival) data including: actuarial science and reliability engineering. The lifetime data analysis provides special techniques that are required to compare the risks for failure. Bayesian semi-parametric methods have been applied to survival analysis...