Mixture Cure Survival Models with Dependent Censoring

A number of authors have studies the mixture survival model to analyze survival data with nonnegligible cure fractions. A key assumption made by these authors is the independence between the survival time and the censoring time. To our knowledge, no one has studies the mixture cure model in the presence of dependent censoring. To account for such dependence, we propose a more general cure model which allows for dependent censoring. In particular, we derive the cure models from the perspective of competing risks and model the dependence between the censoring time and the survival time using a class of Archimedean copula models. Within this framework, we consider the parameter estimation, the cure detection, and the two-sample comparison of latency distribution in the presence of dependent censoring when a proportion of patients is deemed cured. Large sample results using the martingale theory are obtained. We applied the proposed methodologies to the SEER prostate cancer data.

Helium isotope ratios and sedimentation rate models of ODP holes

A continuous age model for the brief climate excursion at the Paleocene-Eocene boundary has been constructed by assuming a constant flux of extraterrestrial 3He (3He[ET]) to the seafloor. 3He[ET] measurements from ODP Site 690 provide quantitative evidence for the rapid onset (rated age models indicating extremely rapid release of isotopically light carbon, possibly from seafloor methane hydrate, as the proximal cause of the event. However, the 3He[ET] technique indicates a previously unrecognized and extreme increase in sedimentation rate coincident with the return of climate proxies to pre-event values. The 3He[ET]-based age model thus suggests a far more rapid recovery from the climatic perturbation than previously proposed or predicted on the basis of the modern carbon cycle, and so may indicate additional or accelerated mechanisms of carbon removal from the ocean-atmosphere system during this period. 3He[ET] was also measured at ODP Site 1051 to test the validity of the Site 690 chronology. Comparison of these data sets seems to require removal of several tens of kyr of sediment within the climatic excursion at Site 1051, an observation consistent with sediment structures and previous age modeling efforts. The Site 1051 age model shows a ~30 kyr period in which climate proxies return toward pre-event values, after which they remain invariant for ~80 kyr. If this rise represents the recovery interval identified at Site 690, then the 3HeET-based age models of the two sites are in good agreement. However, alternative interpretations are possible, and work on less disrupted sites is required to evaluate the reliability of the proposed new chronology of the climate excursion. Regardless of these details, this work shows that the 3HeET technique can provide useful independent evidence for the development and testing of astronomically calibrated age models.

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

A Bayesian Long-term Survival Model Parametrized in the Cured Fraction

The main goal of this paper is to investigate a cure rate model that comprehends some well-known proposals found in the literature. In our work the number of competing causes of the event of interest follows the negative binomial distribution. The model is conveniently reparametrized through the cured fraction, which is then linked to covariates by means of the logistic link. We explore the use of Markov chain Monte Carlo methods to develop a Bayesian analysis in the proposed model. The procedure is illustrated with a numerical example.

Testes de hipóteses em modelos de sobrevivência com Fração de cura

Survival models deals with the modeling of time to event data. However in some situations part of the population may be no longer subject to the event. Models that take this fact into account are called cure rate models. There are few studies about hypothesis tests in cure rate models. Recently a new test statistic, the gradient statistic, has been proposed. It shares the same asymptotic properties with the classic large sample tests, the likelihood ratio, score and Wald tests. Some simulation studies have been carried out to explore the behavior of the gradient statistic in fi nite samples and compare it with the classic statistics in diff erent models. The main objective of this work is to study and compare the performance of gradient test and likelihood ratio test in cure rate models. We first describe the models and present the main asymptotic properties of the tests. We perform a simulation study based on the promotion time model with Weibull distribution to assess the performance of the tests in finite samples. An application is presented to illustrate the studied concepts

Generalized log-gamma regression models with cure fraction

In this paper, the generalized log-gamma regression model is modified to allow the possibility that long-term survivors may be present in the data. This modification leads to a generalized log-gamma regression model with a cure rate, encompassing, as special cases, the log-exponential, log-Weibull and log-normal regression models with a cure rate typically used to model such data. The models attempt to simultaneously estimate the effects of explanatory variables on the timing acceleration/deceleration of a given event and the surviving fraction, that is, the proportion of the population for which the event never occurs. The normal curvatures of local influence are derived under some usual perturbation schemes and two martingale-type residuals are proposed to assess departures from the generalized log-gamma error assumption as well as to detect outlying observations. Finally, a data set from the medical area is analyzed.

Effect of Silane Coupling Agent on Cure Characteristics and Mechanical Properties of Nitrile Rubber/Reclaimed Rubber Blend

Blends of nitrile rubber and reclaimed rubber containing different levels of a coupling agent, Si 69 (bis(3- triethoxysilyl propyl)(tetrasulphide) were prepared and the cure characteristic's and mechanical properties were studied. Optimum loading of Si-69 was found to be a function of blend ratio. 3 phi- of Si 69 in a 70:30. Blend was found to be the optimum combination with respect to the mechanical properties. The rate and state of cure were also affected bv the conp/ing agent. Tensile strength, tear strength and abrasion resistance were improved in the presence of coupling agent. While the state of cure improved, the cure rate and scorch time decreased with increasing silane content. Ageing studies showed that the blends containing the coupling agent were inferior to the unmodified blends.

Effect of Silane Coupling Agent on Cure Characteristics and Mechanical Properties of Chloroprene Rubber/Reclaimed Rubber Blend

Chloroprene rubber was blended with whole tire reclaimed rubber (WTR) in presence of different levels of a coupling agent Si69 [bis- (3-(triethoxysilyl)propy1)tetrasuIfide] and the cure characteristics and mechanical properties were studied. The rate and state of cure were also affected by the coupling agent. While the cure time was increased, the cure rate and scorch time were decreased with increasing silane content. Tensile strength, tear strength, and abrasion resistance were improved in the presence of coupling agent. Compression set and resilience were adversely affected in presence of silane-coupling agent.Aging studies showed that the blends containing the coupling agent were inferior to the unmodified blends.

Cure Characteristics and Mechanical Properties of Short Nylon Fiber Reinforced Acrylonitrile Butadiene Rubber/Reclaimed Rubber Blends

Cure characteristics and mechanical properties of short nylon fiber reinforced acrylonitrile butadiene rubber-reclaimed rubber composites were studied. Minimum torque, (maximum-minimum) torque and cure rate increased with fiber concentration. Scorch time and cure time decreased by the addition of fibers. Properties like tensile strength, tear strength, elongation at break, abrasion loss and heat build up were studied in both orientations of fibers. Tensile and tear properties were enhanced by the addition of fibers and were higher in the longitudinal direction. Heat build up increased with fiber concentration and were higher in the longitudinal direction. Abrasion resistance was improved in presence of short fibers and was higher in the longitudinal direction. Resilience increased on the introduction of fibers. Compression set was higher for blends.

Effect of Urethane Based Bonding Agent on the Cure Characteristics and Mechanical Properties of Styrene Butadiene Rubber - Whole Tyre Reclaim - Short Nylon Fiber Composite

The cure characteristics and mechanical properties of short nylon fiber- styrene /whole tyre reclaim (SBR/WTR) composites with and without an interfacial bonding agent based on 4,4 diphenyl methane diisocyanate and polyethylene glycol (MDI/PEG) have been studied. An 80:40 blend of SBR/ WTR reinforced with 20 phr of short nylon fiber has been selected and the MDI/ PEG ratio has been changed from 0.67:1 to 2:1. The minimum and maximum torques increased with isocyanate concentration. The scorch time and cure time showed an initial reduction. The cure rate showed an initial improvement. Tensile strength, tear strength and abrasion resistance increased with MDI/PEG ratio, these values were higher in longitudinal direction. Resilience and compression set increased with isocyanate concentration.

Characterizations of bivariate models using dynamic Kullback–Leibler discrimination measures

In this paper, the residual Kullback–Leibler discrimination information measure is extended to conditionally specified models. The extension is used to characterize some bivariate distributions. These distributions are also characterized in terms of proportional hazard rate models and weighted distributions. Moreover, we also obtain some bounds for this dynamic discrimination function by using the likelihood ratio order and some preceding results.