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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

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Book part
Publication date: 19 December 2012

Matthew Harding and Carlos Lamarche

This paper studies the estimation of quantile regression panel duration models. We allow for the possibility of endogenous covariates and correlated individual effects in…

Abstract

This paper studies the estimation of quantile regression panel duration models. We allow for the possibility of endogenous covariates and correlated individual effects in the quantile regression models. We propose a quantile regression approach for panel duration models under conditionally independent censoring. The procedure involves minimizing ℓ1 convex objective functions and is motivated by a martingale property associated with survival data in models with endogenous covariates. We carry out a series of Monte Carlo simulations to investigate the small sample performance of the proposed approach in comparison with other existing methods. An empirical application of the method to the analysis of the effect of unemployment insurance on unemployment duration illustrates the approach.

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Essays in Honor of Jerry Hausman
Type: Book
ISBN: 978-1-78190-308-7

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Book part
Publication date: 15 April 2020

Timothy Dombrowski, R. Kelley Pace and Rajesh P. Narayanan

Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how…

Abstract

Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to the loan returns, and thus, the risk of the portfolio. At one extreme, a portfolio of foreclosed mortgage loans becomes a portfolio of real estate whose returns exhibit substantial cross-sectional and spatial dependence. Near the other extreme, almost all loans perform and yield constant returns, which do not correlate with other performing loan returns. This suggests that loan performance effectively censors the random returns of the underlying properties. Following the statistical properties of the correlations among censored variables, the authors build off this foundation and show how the loan return correlations will rise as economic conditions deteriorate and the defaulting loans reveal the underlying housing correlations. In this chapter, the authors (1) adapt tools from spatial statistics to document substantial cross-sectional dependence across house price returns and examine the spatial structure of this dependence, (2) investigate the nonlinear nature of correlations among loan returns as a function of the default rate and the underlying house price correlations, and (3) conduct a simulation exercise using parameters from the empirical data to show the implications for holding a portfolio of mortgages.

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Book part
Publication date: 14 September 2007

Chandra R. Bhat and Abdul Rawoof Pinjari

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Handbook of Transport Modelling
Type: Book
ISBN: 978-0-08-045376-7

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Article
Publication date: 9 October 2020

Nooshin Hakamipour

In this paper, the author proposed an optimization design for a step-stress accelerated life test (SSALT) with two stress variables for the generalized exponential (GE…

Abstract

Purpose

In this paper, the author proposed an optimization design for a step-stress accelerated life test (SSALT) with two stress variables for the generalized exponential (GE) distribution under progressive type-I censoring.

Design/methodology/approach

In this paper, two stress variables were considered. Progressive censoring and accelerated life testing were used to reduce the time and cost of testing. It was assumed that the lifetimes of the test units followed a GE distribution. The effects of changing stress were considered as a cumulative exposure model. A log-linear relationship between the scale parameter of the GE distribution and the stress was proposed. The maximum likelihood estimators and approximate and bootstrap confidence intervals (CIs) for the model parameters were obtained. An optimum test plan was developed using minimization of the asymptotic variance (AV) of the percentile life under the usual operating condition.

Findings

According to the simulation results, the bootstrap CIs of the model parameters gave more accurate results than approximate CIs through the length of CIs. The sensitivity analysis was performed to illustrate the effect of initial estimates on optimal values that has been studied. Simulation results also indicated that the optimal times were not too sensitive to the initial values of parameters; thus, the proposed design was robust.

Originality/value

In most studies, only one accelerating stress variable is used. Sometimes accelerating one stress variable does not yield enough failure data. Thus, two stress variables may be needed for additional acceleration. In this paper, two stress variables are considered. The inclusion of two stress variables in a test design will lead to a better understanding of the effect of two simultaneously operating stress variables. Also, the author assumes that the failure time of the test units follows a GE distribution. It is observed that the GE distribution can be used quite effectively to analyze lifetime data in place of gamma, Weibull and log-normal distributions. Also, most studies in this field have focused on the derivation of optimum test plans. In this paper, the author examined the estimation of model parameters and the optimization of the test design. In this paper, the asymptotic and bootstrap CIs for the model parameters are calculated. In addition, a sensitivity analysis is performed to examine the effect of the changes in the pre-estimated parameters on the optimal hold times. For determining the optimal test plan, due to nonlinearity and complexity of the objective function, the particle swarm optimization (PSO) algorithm is developed to calculate the optimal hold times. In this method, the research speed is very fast and optimization ability is more.

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International Journal of Quality & Reliability Management, vol. 38 no. 5
Type: Research Article
ISSN: 0265-671X

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Article
Publication date: 17 August 2000

Jae Joo Kim, Hai Sung Jeong and Myung Hwan Na

The problem of trend change in the failure rate is great interest in the reliability and survival analysis. In this paper we develop a test statistic for testing whether…

Abstract

The problem of trend change in the failure rate is great interest in the reliability and survival analysis. In this paper we develop a test statistic for testing whether or not the failure rate changes its trend using random censored date. The sasymptotic normality of the test statistic is established. The efficiency values of loss due to censoring are discussed.

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Asian Journal on Quality, vol. 1 no. 1
Type: Research Article
ISSN: 1598-2688

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Article
Publication date: 29 August 2019

Nooshin Hakamipour

The purpose of this paper is to consider the general k level step-stress accelerated life test with the Rayleigh lifetime distribution for units subjected to stress under…

Abstract

Purpose

The purpose of this paper is to consider the general k level step-stress accelerated life test with the Rayleigh lifetime distribution for units subjected to stress under progressive Type-I censoring.

Design/methodology/approach

The parameter of this distribution is assumed to be a log-linear function of the stress, and a tampered failure rate model holds. The progressive Type-I censoring reduces the cost of testing. Due to constrained resources in practice, the test design must be optimized carefully. A numerical study is conducted to illustrate the optimum test design based on several four optimality criteria under the constraint that the total experimental cost does not exceed a pre-specified budget.

Findings

This paper compares unconstrained and constrained optimal k level step-stress test. Based on the results of the simulation study, the cost constraint reduces cost and time of the test and it also, in the most cases, increases the efficiency of the test. Also, the T-optimal design is lowest cost and time for testing and it is found more optimal in both conditions.

Originality/value

In this paper, various optimization criteria for selecting the stress durations have been used, and these criteria are compared together. Also, because of affecting the stress durations on the experimental cost, the author optimize under the constraint that the total experimental cost does not exceed a pre-specified budget. The efficiency of the unconstrained test in comparison with constrained test is discussed.

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International Journal of Quality & Reliability Management, vol. 36 no. 10
Type: Research Article
ISSN: 0265-671X

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Article
Publication date: 1 November 1999

A. Alonso, Esteban and D. Morales

Methods of testing simple hypotheses about lifetime parameters from doubly censored data are given on the basis of the maximum likelihood principle. It is shown that…

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Abstract

Methods of testing simple hypotheses about lifetime parameters from doubly censored data are given on the basis of the maximum likelihood principle. It is shown that, under the assumptions of standard type, the asymptotic distribution of proposed statistics is chi‐square or linear combination of chi‐square distributions. The choice of statistics optimal from the point of view of power is discussed and illustrated by several examples.

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Kybernetes, vol. 28 no. 8
Type: Research Article
ISSN: 0368-492X

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Article
Publication date: 1 October 2006

Sang Wook Chung, Young Sung Seo and Won Young Yun

The paper aims to present acceptance sampling plans based on failure‐censored step‐stress accelerated life tests for items having Weibull lives.

Abstract

Purpose

The paper aims to present acceptance sampling plans based on failure‐censored step‐stress accelerated life tests for items having Weibull lives.

Design/methodology/approach

The model parameters are estimated by the method of maximum likelihood. Based on asymptotic distribution theory, the sample size and the acceptability constant are determined satisfying the producer's and consumer's risks. The step‐stress accelerated life test is optimized to have a minimum sample size by minimizing the asymptotic variance of test statistic. Two modes of step‐stress accelerated life test are considered, and a comparison between them is made. The proposed sampling plans are compared with the sampling plans based on constant stress accelerated life tests.

Findings

Asymptotic variance is a dominating factor in determining the sample size required for a sampling plan to determine the acceptability of a lot. The sample size is minimized by optimally designing a step‐stress accelerated life test so that the asymptotic variance is minimized.

Originality/value

The sampling plans presented in this paper are particularly useful when items to be tested are so reliable and are useful to reliability engineers and life test planners.

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Journal of Quality in Maintenance Engineering, vol. 12 no. 4
Type: Research Article
ISSN: 1355-2511

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Article
Publication date: 7 August 2017

Soumya Roy, Biswabrata Pradhan and E.V. Gijo

The purpose of this paper is to compare various methods of estimation of P(X<Y) based on Type-II censored data, where X and Y represent a quality characteristic of…

Abstract

Purpose

The purpose of this paper is to compare various methods of estimation of P(X<Y) based on Type-II censored data, where X and Y represent a quality characteristic of interest for two groups.

Design/methodology/approach

This paper assumes that both X and Y are independently distributed generalized half logistic random variables. The maximum likelihood estimator and the uniformly minimum variance unbiased estimator of R are obtained based on Type-II censored data. An exact 95 percent maximum likelihood estimate-based confidence interval for R is also provided. Next, various Bayesian point and interval estimators are obtained using both the subjective and non-informative priors. A real life data set is analyzed for illustration.

Findings

The performance of various point and interval estimators is judged through a detailed simulation study. The finite sample properties of the estimators are found to be satisfactory. It is observed that the posterior mean marginally outperform other estimators with respect to the mean squared error even under the non-informative prior.

Originality/value

The proposed methodology can be used for comparing two groups with respect to a suitable quality characteristic of interest. It can also be applied for estimation of the stress-strength reliability, which is of particular interest to the reliability engineers.

Details

International Journal of Quality & Reliability Management, vol. 34 no. 7
Type: Research Article
ISSN: 0265-671X

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