Items where Division is "Statistics" and Year is 2005

Article

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2005) Inf-convolution of risk measures and optimal risk transfer. Finance and Stochastics, 9 (2). pp. 269-298. ISSN 0949-2984

Berger, Yves G. and Skinner, Chris J. (2005) A jackknife variance estimator for unequal probability sampling. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 67 (1). pp. 79-89. ISSN 1369-7412

Dassios, Angelos ORCID: 0000-0002-3968-2366 (2005) On the quantiles of the Brownian motion and their hitting times. Bernoulli, 11 (1). pp. 29-36. ISSN 1350-7265

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Jang, J.W. (2005) Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Journal of Applied Probability, 42 (1). pp. 93-107. ISSN 0021-9002

Fernholz, Robert, Karatzas, Ioannis and Kardaras, Constantinos ORCID: 0000-0001-6903-4506 (2005) Diversity and relative arbitrage in equity markets. Finance and Stochastics, 9 (1). pp. 1-27. ISSN 0949-2984

Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2005) Modelling and forecasting financial log-returns as locally stationary wavelet processes. Journal of Applied Statistics, 32 (5). pp. 503-528. ISSN 0266-4763

Guerrero, Alexandra and Smith, Leonard A. (2005) A maximum likelihood estimator for long-range persistence. Physica A: Statistical Mechanics and Its Applications, 355 (2-4). pp. 619-632. ISSN 0378-4371

Hall, Peter and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2005) Approximating conditional distribution functions using dimension reduction. Annals of Statistics, 33 (3). pp. 1404-1421. ISSN 0090-5364

Howard, J. V. and Gal, S. (2005) Rendezvous-evasion search in two boxes. Operations Research, 53 (4). pp. 689-697. ISSN 0030-364X

Knott, Martin (2005) A measure of independence for a multivariate normal distribution and some connections with factor analysis. Journal of Multivariate Analysis, 96 (2). pp. 374-383. ISSN 0047-259X

Komaki, Toru and Penzer, Jeremy (2005) Estimation of time-varying price elasticity in 1970-1997 Japanese raw milk supply by structural time-series model. Agricultural Economics, 32 (1). pp. 1-14. ISSN 0169-5150

Moustaki, Irini ORCID: 0000-0001-8371-1251 and Steele, Fiona ORCID: 0000-0001-6417-7444 (2005) Latent variable models for mixed categorical and survival responses with an application to fertility preferences and family planning in Bangladesh. Statistical Modelling, 5 (4). pp. 327-342. ISSN 1471-082X

Nafstad, P, Jaakkola, J. K, Skrondal, Anders and Magnus, P (2005) Day care center characteristics and children's respiratory health. Indoor Air, 15 (2). 69 - 75. ISSN 0905-6947

Nafstad, P., Brunekreef, B., Skrondal, Anders and Nystad, W. (2005) Early respiratory infections, asthma, and allergy: 10-year follow-up of the Oslo Birth Cohort. Pediatrics, 116 (2). pp. 255-262. ISSN 0031-4005

Norberg, Ragnar (2005) Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and Stochastics, 9 (4). pp. 519-537. ISSN 0949-2984

Norberg, Ragnar (2005) Interest guarantees in banking. Applied Mathematical Finance, 12 (4). pp. 351-370. ISSN 1350-486X

Norberg, Ragnar and Steffensen, Mogens (2005) What is the time value of a stream of investments? Journal of Applied Probability, 42 (3). pp. 861-866. ISSN 0021-9002

Rheinlander, Thorsten (2005) An entropy approach to the Stein and Stein model with correlation. Finance and Stochastics, 9 (3). pp. 399-413. ISSN 0949-2984

Rheinlander, Thorsten and Steinkamp, Marcus (2005) A stochastic version of Zeeman's market model. Studies in Nonlinear Dynamics and Econometrics, 8 (4). article 4. ISSN 1081-1826

Roulston, Mark S, Ellepola, Jerome, von Hardenberg, Jost and Smith, Leonard A. (2005) Forecasting wave height probabilities with numerical weather prediction models. Ocean Engineering, 32 (14-15). pp. 1841-1863. ISSN 0029-8018

Rudas, Tamas and Bergsma, Wicher ORCID: 0000-0002-2422-2359 (2005) On applications of marginal models for categorical data. Metron, LXII. pp. 1-25. ISSN 0026-1424

Skinner, Chris J. (2005) Contribution to discussion of J. Copas and S. Eguchi, ‘local model uncertainty and incomplete-data bias’. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 67 (4). p. 500. ISSN 1369-7412

Skrondal, Anders, Rabe-Hesketh, S. and Pickles, A. (2005) Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects. Journal of Econometrics, 128 (2). pp. 301-323. ISSN 0304-4076

Spydslaug, A., Eskild, A., Trogstad, L. I. S., Nesheim, B. I. and Skrondal, Anders (2005) Recurrent risk of anal sphincter laceration among women with vaginal deliveries. Obstetrics and Gynecology, 105. pp. 307-313. ISSN 0029-7844

Spydslaug, Anny, Trogstad, Lill I. S., Skrondal, Anders and Eskild, Anne (2005) Recurrence risk of anal sphincter laceration among women with vaginal deliveries. Obstetrics and Gynecology, 105 (2). pp. 307-313. ISSN 0029-7844

Stainforth, David A. ORCID: 0000-0001-6476-733X, Aina, T., Christensen, C., Collins, M., Faull, N., Frame, D. J., Kettleborough, J. A., Knight, S., Martin, A., Murphy, J. M., Piani, C., Sexton, D., Smith, Leonard A., Spicer, R. A., Thorpe, A. J. and Allen, M. R. (2005) Uncertainty in predictions of the climate response to rising levels of greenhouse gases. Nature, 433 (7024). pp. 403-406. ISSN 0028-0836

Steele, Fiona ORCID: 0000-0001-6417-7444, Kallis, Constantinos, Goldstein, Harvey and Joshi, Heather (2005) The relationship between childbearing and transitions from marriage and cohabitation in Britain. Demography, 42 (4). pp. 647-673. ISSN 0070-3370

Tong, Howell and Ling, S (2005) Testing for a linear MA model against threshold MA models. Annals of Statistics, 33 (6). pp. 2529-2552. ISSN 0090-5364

Tong, Howell and Zhang, Z (2005) On time-reversibility of multivariate linear processes. Statistica Sinica, 15 (2). pp. 495-504. ISSN 1017-0405

Weisheimer, Antje, Smith, Leonard A. and Judd, Kevin (2005) A new view of forecast skill: bounding boxes from the DEMETER ensemble seasonal forecasts. Tellus Series A: Dynamic Meteorology and Oceanography, 57 (3). pp. 265-279. ISSN 0280-6495

Book Section

Barrieu, Pauline ORCID: 0000-0001-9473-263X and Bellamy, N. (2005) Impact of a market crisis on real options. In: Kyprianou, Andreas E., Schoutens, Wim and Wilmott, Paul, (eds.) Exotic Option Pricing and Advanced Lévy Models. John Wiley & Sons, London, UK. ISBN 9780470016848

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2005) Dynamic financial risk management. In: Aspects des Mathématiques Financières. Technique et documentation (Firm). ISBN 2743008873

Bergsma, Wicher ORCID: 0000-0002-2422-2359 and Croon, Marcel (2005) Analyzing categorical data by marginal models. In: van der Ark, L.A, (ed.) New Developments in Categorical Data Analysis for the Social and Behavioral Sciences. Quantitative methodology series. Psychology Press, New Jersey, USA, pp. 83-101. ISBN 9780805847284

Moustaki, Irini ORCID: 0000-0001-8371-1251 and Knott, Martin (2005) Computational aspects of the E-M and Bayesian estimation in latent variable models. In: Andries van der Ark, L, Croon, Marcel A and Sijtsma, Klaas, (eds.) New Developments in Categorical Data Analysis for the Social and Behavioral Sciences. Quantitative methodology series. Lawrence Erlbaum, Mahwah, U.S., pp. 103-124. ISBN 0805847286

Rabe-Hesketh, Sophia and Skrondal, Anders (2005) Probit model. In: Everitt, B. and Palmer, Charles, (eds.) Encyclopaedic Companion to Medical Statistics. Edward Arnold, London. ISBN 0340809981

Skrondal, Anders and Rabe-Hesketh, Sophia (2005) Structural equation modeling: categorical variables. In: Everitt, B. and Howell, D., (eds.) Encyclopedia of Statistics in Behavioral Science. John Wiley & Sons, London. ISBN 0470860804

Steele, Fiona ORCID: 0000-0001-6417-7444 (2005) Structural equation modeling: multilevel. In: Everitt, Brian S. and Howell, David, (eds.) Encyclopedia of Statistics in Behavioral Science. John Wiley & Sons, Chichester, pp. 1927-1931. ISBN 9780470860809

Steele, Fiona ORCID: 0000-0001-6417-7444 and Wang, Duolao (2005) Regression analysis. In: Wang, Duolao and Bakhai, Ameet, (eds.) Clinical Trials: a Practical Guide to Design, Analysis, and Reporting. REMEDICA, London, pp. 273-286. ISBN 9781901346725

Tong, Howell (2005) Non-linear time series analysis. In: Encyclopedia of Biostatistics. John Wiley & Sons, pp. 3020-3040. ISBN 9780471975762

Wang, Mingjin and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2005) Modelling multivariate volatilities: an ad hoc method. In: Fan, Jianqing and Li, Gang, (eds.) Contemporary Multivariate Analysis and Experimental Designs: in Celebration of Professor Kai-Tai Fang's 65th Birthday. Series In Biostatistics. World Scientific (Firm), Singapore, pp. 87-97. ISBN 9789812561206

Monograph

Bergsma, Wicher P ORCID: 0000-0002-2422-2359 and Rapcsak, Tamás (2005) An exact penalty method for smooth equality constrained optimization with application to maximum likelihood estimation. . EURANDOM, Eindhoven, Netherlands.

Steele, Fiona ORCID: 0000-0001-6417-7444 (2005) Event history analysis. . National Centre for Research Methods.