 previous article in this issue | next article in this issue  |
|
Document Details : Title: Super-Efficient Prediction Based on High-Quality Market Information Author(s): NIELSEN, J.P. Journal: ASTIN Bulletin Volume: 30 Issue: 2 Date: November 2000 Pages: 295-304 DOI: 10.2143/AST.30.2.504636 Abstract : Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated x/~-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated v~-consistently if a Markov type property holds for the high quality marker. |
