Analytically calibrated Box--Cox percentile limits for duration and event-time models

DOI10.1016/j.insmatheco.2004.08.002zbMath1070.62115OpenAlexW2099210442MaRDI QIDQ2485534

Albert K. Tsui, Zhenlin Yang

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.08.002

zbMATH Keywords

Box-Cox transformationAnalytical calibrationDuration modelEvent-time modelPercentile limits

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Graphical methods in statistics (62A09)

Related Items (1)

A modified family of power transformations

Uses Software

• StInt

Cites Work

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• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Predicting a future median life through a power transformation

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