An Objective Measure of Distributional Estimability as Applied to the Phase-Type Aging Model

IF 2 Q2 BUSINESS, FINANCE
Risks Pub Date : 2024-02-13 DOI:10.3390/risks12020037
Cong Nie, Xiaoming Liu, Serge B. Provost
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引用次数: 0

Abstract

The phase-type aging model (PTAM) is a class of Coxian-type Markovian models that can provide a quantitative description of the effects of various aging characteristics. Owing to the unique structure of the PTAM, parametric inference on the model is affected by a significant estimability issue, its profile likelihood functions being flat. While existing methods for assessing distributional non-estimability require the subjective specification of thresholds, this paper objectively quantifies estimability in the context of general statistical models. More specifically, this is achieved via a carefully designed cumulative distribution function sensitivity measure, under which the threshold is tailored to the empirical cumulative distribution function, thus becoming an experiment-based quantity. The proposed definition, which is validated to be innately sound, is then employed to determine and enhance the estimability of the PTAM.
应用于阶段型老化模型的分布可估性客观测量方法
阶段型老化模型(PTAM)是一类考克斯型马尔可夫模型,可以定量描述各种老化特征的影响。由于 PTAM 的独特结构,该模型的参数推断受到一个重要的可估计性问题的影响,即其剖面似然函数是平的。现有的分布非可估计性评估方法需要主观指定阈值,而本文则在一般统计模型的背景下对可估计性进行客观量化。更具体地说,这是通过精心设计的累积分布函数敏感性测量来实现的,在此测量下,阈值是根据经验累积分布函数量身定制的,从而成为一个基于实验的量。所提出的定义经过验证是可靠的,因此可用于确定和提高 PTAM 的可估算性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Risks
Risks Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
3.80
自引率
22.70%
发文量
205
审稿时长
11 weeks
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