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

DOI10.1016/J.INSMATHECO.2004.08.002zbMATH Open1070.62115OpenAlexW2099210442MaRDI QIDQ2485534FDOQ2485534

Authors: Zhenlin Yang, Albert K. Tsui 

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

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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)

Cites Work

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• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• The Large-Sample Behavior of Transformations to Normality
• Simultaneous equations models in applied search theory
• Estimating a transformation and its effect on Box-Cox \(T\)-ratio
• Predicting a future lifetime through Box-Cox transformation
• On prediction and the power transformation family
• Expo-power: : A flexible hazard function for duration data models
• Structural duration analysis of management data
• Predicting a future median life through a power transformation

Cited In (1)

• A modified family of power transformations

Uses Software

• StInt

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