Back to Search
Start Over
Estimation for Uni-variate and Bi-variate Reinforced Urn Processes Under Left-Truncation and Right-Censoring
Estimation for Uni-variate and Bi-variate Reinforced Urn Processes Under Left-Truncation and Right-Censoring
- Source :
- SSRN Electronic Journal.
-
Abstract
- Reinforced Urn Processes (RUPs) represent a flexible class of Bayesian nonparametric models suitable for dealing with possibly right-censored and left-truncated observations. A reliable estimation of their hyper-parameters is however missing in the literature. We therefore propose an extension of the Expectation-Maximization (EM) algorithm for RUPs, both in the univariate and the bivariate case. Furthermore, a new methodology combining EM and the prior elicitation mechanism of RUPs is developed: the Expectation-Reinforcement algorithm. Numerical results showing the performance of both algorithms are presented for several analytical examples as well as for a large dataset of Canadian annuities.
Details
- Language :
- English
- ISSN :
- 15565068
- Database :
- OpenAIRE
- Journal :
- SSRN Electronic Journal
- Accession number :
- edsair.doi.dedup.....a9a77696e1bc48a05e550777d213b931
- Full Text :
- https://doi.org/10.2139/ssrn.3593391