Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects

2003 ◽  
Vol 33 (2) ◽  
pp. 273-282 ◽  
Author(s):  
Catalina Bolancé ◽  
Montserrat Guillén ◽  
Jean Pinquet
2021 ◽  
pp. 1-21
Author(s):  
Cornelius Fritz ◽  
Paul W. Thurner ◽  
Göran Kauermann

Abstract We propose a novel tie-oriented model for longitudinal event network data. The generating mechanism is assumed to be a multivariate Poisson process that governs the onset and repetition of yearly observed events with two separate intensity functions. We apply the model to a network obtained from the yearly dyadic number of international deliveries of combat aircraft trades between 1950 and 2017. Based on the trade gravity approach, we identify economic and political factors impeding or promoting the number of transfers. Extensive dynamics as well as country heterogeneities require the specification of semiparametric time-varying effects as well as random effects. Our findings reveal strong heterogeneous as well as time-varying effects of endogenous and exogenous covariates on the onset and repetition of aircraft trade events.


2008 ◽  
Vol 52 (5) ◽  
pp. 2514-2528 ◽  
Author(s):  
Göran Kauermann ◽  
Ronghui Xu ◽  
Florin Vaida

Author(s):  
Rob van den Goorbergh ◽  
R. Molenaar ◽  
Onno W. Steenbeek ◽  
Peter Vlaar

2020 ◽  
Vol 52 (4) ◽  
pp. 1403-1427 ◽  
Author(s):  
Eldin Dzubur ◽  
Aditya Ponnada ◽  
Rachel Nordgren ◽  
Chih-Hsiang Yang ◽  
Stephen Intille ◽  
...  

AbstractThe use of intensive sampling methods, such as ecological momentary assessment (EMA), is increasingly prominent in medical research. However, inferences from such data are often limited to the subject-specific mean of the outcome and between-subject variance (i.e., random intercept), despite the capability to examine within-subject variance (i.e., random scale) and associations between covariates and subject-specific mean (i.e., random slope). MixWILD (Mixed model analysis With Intensive Longitudinal Data) is statistical software that tests the effects of subject-level parameters (variance and slope) of time-varying variables, specifically in the context of studies using intensive sampling methods, such as ecological momentary assessment. MixWILD combines estimation of a stage 1 mixed-effects location-scale (MELS) model, including estimation of the subject-specific random effects, with a subsequent stage 2 linear or binary/ordinal logistic regression in which values sampled from each subject’s random effect distributions can be used as regressors (and then the results are aggregated across replications). Computations within MixWILD were written in FORTRAN and use maximum likelihood estimation, utilizing both the expectation-maximization (EM) algorithm and a Newton–Raphson solution. The mean and variance of each individual’s random effects used in the sampling are estimated using empirical Bayes equations. This manuscript details the underlying procedures and provides examples illustrating standalone usage and features of MixWILD and its GUI. MixWILD is generalizable to a variety of data collection strategies (i.e., EMA, sensors) as a robust and reproducible method to test predictors of variability in level 1 outcomes and the associations between subject-level parameters (variances and slopes) and level 2 outcomes.


2009 ◽  
Vol 4 (4) ◽  
pp. 468-491 ◽  
Author(s):  
Stephen W. Raudenbush

Fixed effects models are often useful in longitudinal studies when the goal is to assess the impact of teacher or school characteristics on student learning. In this article, I introduce an alternative procedure: adaptive centering with random effects. I show that this procedure can replicate the fixed effects analysis while offering several comparative advantages: the incorporation into standard errors of multiple levels of clustering; the modeling of heterogeneity of treatment effects; the estimation of effects of treatments at multiple levels; and computational simplicity. After illustrating these ideas in a simple setting, the article formulates a general linear model with adaptive centering and random effects and derives efficient estimates and standard errors. The results apply to studies that have an arbitrary number of nested and cross-classified factors such as time, students, classrooms, schools, districts, or states.


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