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Using a comprehensive sample of 2,585 bankruptcies from 1990 to 2019, we benchmark the performance of various machine learning models in predicting financial distress of publicly traded U.S. firms. We find that gradient boosted trees…
We introduce tools for controlled variable selection to economists. In particular, we apply a recently introduced aggregation scheme for false discovery rate (FDR) control to German administrative data to determine the parts of the…
We consider a population that experienced a first wave of infections, interrupted by strong, top-down, governmental restrictions and did not develop a significant immunity to prevent a second wave (i.e. resurgence). As restrictions are…
Australian water infrastructure is more than a hundred years old, thus has begun to show its age through water main failures. Our work concerns approximately half a million pipelines across major Australian cities that deliver water to…
Semiparametric estimators admitting a von Mises expansion often reduce inference to the influence-function variance. This reduction is justified when the second-order remainder is negligible in variance, a condition that is stronger than…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
How long a fluid membrane vesicle stressed with a steady ramp of micropipette last before rupture? Or conversely, how high the surface tension should be to rupture a membrane? To answer these challenging questions we have developed a…
It has long been established that, if a panel dataset suffers from attrition, auxiliary (refreshment) sampling restores full identification under additional assumptions that still allow for nontrivial attrition mechanisms. Such…
Accurate modeling of operational risk is important for a bank and the finance industry as a whole to prepare for potentially catastrophic losses. One approach to modeling operational is the loss distribution approach, which requires a bank…
Many dynamical processes on real world networks display complex temporal patterns as, for instance, a fat-tailed distribution of inter-events times, leading to heterogeneous waiting times between events. In this work, we focus on…
This paper concerns the use of neural networks for predicting the residual life of machines and components. In addition, the advantage of using condition-monitoring data to enhance the predictive capability of these neural networks was also…
We study random design linear regression with no assumptions on the distribution of the covariates and with a heavy-tailed response variable. In this distribution-free regression setting, we show that boundedness of the conditional second…
A population-averaged additive subdistribution hazards model is proposed to assess the marginal effects of covariates on the cumulative incidence function and to analyze correlated failure time data subject to competing risks. This approach…
We study the fundamental task of estimating the median of an underlying distribution from a finite number of samples, under pure differential privacy constraints. We focus on distributions satisfying the minimal assumption that they have a…
Life assurance companies typically possess a wealth of data covering multiple systems and databases. These data are often used for analyzing the past and for describing the present. Taking account of the past, the future is mostly…
The Aalen-Johansen estimator generalizes the Kaplan-Meier estimator for independently left-truncated and right-censored survival data to estimating the transition probability matrix of a time-inhomogeneous Markov model with finite state…
The primary goal of this paper is to introduce a novel frailty model based on the weighted Lindley (WL) distribution for modeling clustered survival data. We study the statistical properties of the proposed model. In particular, the amount…
The analysis of standardized low cycle fatigue (LCF) experiments shows that the failure times widely scatter. Furthermore, mechanical components often fail before the deterministic failure time is reached. A possibility to overcome these…
The density function of product life cycles in convenience stores is found to follow the Weibull distribution. To clarify the parameters that determine these life cycles, we introduce the conditional market share-defined as the probability…