Matteo Grigoletto

Learn More
Riassunto: L’obiettivo del presente lavoro è studiare il comportamento di una nuova procedura per la determinazione di regioni di previsione per processi autoregressivi multidimensionali. Le regioni di previsione, basate sulla tecnica bootstrap, non fanno affidamento su alcuna assunzione distributiva per i disturbi ed inoltre tengono conto della variabilità(More)
The Meixner distribution is a special case of the generalized zdistributions. Its properties make it potentially very useful in modeling short-term financial returns. This article proposes an algorithm to simulate the Meixner distribution, and shows how to obtain maximum likelihood estimators of its parameters. A GARCHtype model is then assessed, assuming(More)
We propose a method for fitting semiparametric models such as the proportional hazards (PH), additive risks (AR), and proportional odds (PO) models. Each of these semiparametric models implies that some transformation of the conditional cumulative hazard function (at each t) depends linearly on the covariates. The proposed method is based on nonparametric(More)
In this work we propose a novel unsupervised classification technique based on the estimation of nonlinear nonparametric mixed-effects models. The proposed method is an iterative algorithm that alternates a nonparametric EM step and a nonlinear Maximum Likelihood step. We apply this new procedure to perform an unsupervised clustering of longitudinal data in(More)
  • 1