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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

Authors :
Cornelis W. Oosterlee
Pasquale Cirillo
Luis Souto Arias
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