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Record W2315177202 · doi:10.1002/sta4.101

Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach

2016· article· en· W2315177202 on OpenAlexaff
Ramanathan Thekke, Anuj Mishra, Bovas Abraham

Bibliographic record

VenueStat · 2016
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsUniversity of Waterloo
FundersScience and Engineering Research Board
KeywordsSmoothingDuration (music)EstimationEconometricsComputer scienceConditional expectationComputationLikelihood functionFunction (biology)Stochastic modellingEstimation theoryMathematical optimizationMathematicsAlgorithmStatisticsEconomics

Abstract

fetched live from OpenAlex

Stochastic conditional duration models are widely used in the financial econometrics literature to model the duration between transactions in a financial market. Even though there are developments in terms of modelling aspects, estimation, filtering and smoothing are still being investigated by researchers in this area. Almost all the existing procedures are highly computational intensive because of the complexity of the likelihood function. In this paper, we suggest a new procedure for estimation, filtering and smoothing in stochastic conditional duration models, based on estimating functions. Simulation studies indicate that the suggested procedure performs well and also fast in terms of computation. Copyright © 2016 John Wiley & Sons, Ltd.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.012
metaresearch head score (Gemma)0.042
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: Simulation or modeling
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.012
Threshold uncertainty score0.061

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0120.042
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0020.002
Bibliometrics0.0020.002
Science and technology studies0.0010.001
Scholarly communication0.0020.004
Open science0.0020.002
Research integrity0.0030.003
Insufficient payload (model declined to judge)0.0030.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.047
GPT teacher head0.243
Teacher spread0.196 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreMethods

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations7
Published2016
Admission routes1
Has abstractyes

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