[ABE-L] Seminario PIPGEs

[Ricardo Sandes Ehlers]

Prezados colegas,

Seguem informações sobre o próximo seminário conjunto UFSCar/ICMC.


Paulo Henrique Ferreira da Silva (UFBA), 27/9/2017 às 10h

Local: Auditório Fernão Stella de Rodrigues Germano (ICMC/USP)

Maximum likelihood estimation for bivariate SUR Tobit modelling in
presence of two right-censored dependent variables

Abstract: This work extends the analysis of the Seemingly Unrelated
Regression (SUR) Tobit model for two right-censored dependent
variables by modeling its nonlinear dependence structure through the
rotated by 180 degrees version of the Clayton copula. An advantage of
our approach is to provide unbiased point estimates of the marginal
and copula parameters. Moreover, we discuss the construction of
confidence intervals using bootstrap resampling procedures. The
results of the performed simulation study demonstrate the good
performance of the proposed methods. We illustrate our procedures
using bivariate customer churn data from a Brazilian commercial bank.

Saudações,

Ricardo Ehlers
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