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Computation and application of likelihood prediction with generalized linear and mixed models
Örebro universitet, Handelshögskolan vid Örebro universitet.
(engelsk)Manuskript (preprint) (Annet vitenskapelig)
Abstract [en]

This paper presents the computation of likelihood prediction with the generalized linear and mixed models. The method of likelihood prediction is briefy discussed and approximate formulae are provided to make easy computation of the likelihoodprediction with generalized linear models. For complicated prediction problems, simulation methods are suggested. An R add-in package is accompanied to carryout the computation of the predictive inference with the generalized linear and mixed models. The likelihood prediction is applied to the prediction of the credit defaults using a real data set. Results show that the predictive likelihood can be a useful tool to predict portfolio credit risk.

Emneord [en]
Predictive likelihood, Pro…le predictive likelihood, Coverage inter- val, Future value prediction, Credit risk prediction, R-package.
HSV kategori
Forskningsprogram
Statistik
Identifikatorer
URN: urn:nbn:se:oru:diva-14081OAI: oai:DiVA.org:oru-14081DiVA, id: diva2:389417
Merknad

Mr Alam is also affiliated to Dalarna University, SE 781 88 Borlange, Sweden

Tilgjengelig fra: 2011-01-19 Laget: 2011-01-19 Sist oppdatert: 2017-10-17bibliografisk kontrollert
Inngår i avhandling
1. Feasible computation of generalized linear mixed models with application to credit risk modelling
Åpne denne publikasjonen i ny fane eller vindu >>Feasible computation of generalized linear mixed models with application to credit risk modelling
2010 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
Abstract [en]

This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. We have access to a huge data set, consisting of about one million observations, on credit history obtained from two major Swedish banks. The principal research interest involved with the data analysis is to model the probability of credit defaults by incorporating the systematic dependencies among the default events. In order to model the dependent credit defaults we adopt the framework of GLMM which is apopular approach to model correlated binary data. However, existing computational procedures for GLMM did not offer us the flexibility to incorporate the desired correlation structure of defaults events.For the feasible estimation of the GLMM we propose two estimation techniques being the fixed effects (FE) approach and the two-step pseudolikelihood approach (2PL). The preciseness of the estimation techniques and their computational advantages are studied by Monte-Carlo simulations and by applying them to the credit risk modelling. Regarding the prediction issue, we show how to apply the likelihood principle to carryout prediction with GLMM. We also provide an R add-in package to facilitate the predictive inference for GLMM.

sted, utgiver, år, opplag, sider
Örebro: Örebro universitet, 2010. s. 29
Serie
Örebro Studies in Statistics, ISSN 1651-8608 ; 5
Emneord
Credit risk, cluster correlation, GLMM, large data, two-step pseudo likelihood estimation, defaults contagion, predictive likelihood
HSV kategori
Forskningsprogram
Statistik
Identifikatorer
urn:nbn:se:oru:diva-12390 (URN)978-91-7668-771-0 (ISBN)
Disputas
2010-12-21, Hörsal M, Örebro universitet, Fakultetsgatan 1, 701 82 Örebro, 15:15 (engelsk)
Opponent
Tilgjengelig fra: 2010-11-04 Laget: 2010-11-02 Sist oppdatert: 2017-10-17bibliografisk kontrollert

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