Semiparametric random censorship (SRC) models (Dikta, 1998), derive their rationale from their ability to gainfully utilize parametric ideas within the random censorship environment. An extension of this approach is developed for Cox regression, producing new estimators of the regression parameter and baseline cumulative hazard function. Under correct parametric specification, the proposed esti...

background: kidney transplantation is the best alternative treatment for end-stage renal disease. several studies have been devoted to investigate predisposing factors of graft rejection. however, there is inconsistency between the results. the objective of the present study was to utilize an intuitive and robust approach for variable selection, random survival forests (rsf), and to identify im...

We study the differentiability of the CIR process with respect to its parameters. We give a stochastic representation for these derivatives in terms of the paths of V .

Research on modeling time series text corpora has typically focused on predicting what text will come next, but less well studied is predicting when the next text event will occur. In this paper we address the latter case, framed as modeling continuous inter-arrival times under a logGaussian Cox process, a form of inhomogeneous Poisson process which captures the varying rate at which the tweets...

• 類推研究における 2種類の関係性構造の抽出 (Reeves & Weisberg, 1994) − Automatic schema abstraction > 複数事例の記憶・再生の経験によって抽出 > 新規問題に対しては,特徴の適合度に基づき貯蔵された事例が活性化し,その表象によって抽 象的スキーマが形成される (Goldinger, 1998; Hintzman, 1986) − Comparison-based abstraction (Strategic schema abstraction) > 問題同士を顕在的に比較するときに行われる > 2つの問題に共通する関係構造に着目し,その関係性構造が元の問題とは別に保存される (Kotovsky & Gentner, 1996; Namy & Gentner, 2002; Ross, 1984, 1989; Ross & ...

We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the realization of its intensity. We assume that the intensity follows the Cox-Ingersoll-Ross model. This model allows one to calculate survival probabilities and prices o...

The famous Black-Sholes (BS) and Cox-Ross-Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a determinis...

This paper studies drawdown and drawup processes in a general diffusion model. The main result is a formula for the joint distribution of the running minimum and the running maximum of the process stopped at the time of the first drop of size a. As a consequence, we obtain the probabilities that a drawdown of size a precedes a drawup of size b and vice versa. The results are applied to several ...

This paper asks whether neuroeconomics will make instrumental use of neuroscience to adjudicate existing disputes in economics or be more seriously informed by neuroscience in ways that might transform economics. The paper pursues the question by asking how neuroscience constructs an understanding of individuals as whole persons. The body of the paper is devoted to examining two approaches: Don...

In this paper, we propose a stochastic process, which is a CoxIngersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. Laplace transforms and limit theorems have been obtained, including law of large numbe...