DURATION TIME-SERIES MODELS WITH PROPORTIONAL HAZARD
Bibliographic record
Abstract
The analysis of liquidity in financial markets is generally performed by means of the dynamics of the observed intertrade durations (possibly weighted by price or volume). Various dynamic models for duration data have been considered in the literature, such as the Autoregressive Conditional Duration (ACD) model. These models are often excessively constrained, introducing, for example, a deterministic link between conditional expectation and variance in the case of the ACD model. Moreover, the stationarity properties and the patterns of the stationary distributions are often unknown. The aim of this article is to solve these difficulties by considering a duration time series satisfying the proportional hazard property. We describe in detail this class of dynamic models, discuss its various representations and provide the ergodicity conditions. The proportional hazard copula can be specified either parametrically, or nonparametrically. We discuss estimation methods in both contexts, and explain why they are efficient, that is, why they reach the parametric (respectively, nonparametric) efficiency bound.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot 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.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.006 | 0.018 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.002 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.003 | 0.004 |
| Open science | 0.003 | 0.002 |
| Research integrity | 0.002 | 0.003 |
| Insufficient payload (model declined to judge) | 0.009 | 0.002 |
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.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
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".