Manuel L. Esquível

TL;DR: In this paper, a stochastic process in continuous time with two regimes, threshold and delay, is studied, and it is shown that if the delay is known there are consistent estimators for the threshold as long as we know how to classify a given observation of the process as belonging to one of the two regimes.

TL;DR: The Vasicek interest rate model is calibrate by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters.

TL;DR: In this paper, the authors presented a model for estimating the time from diagnosis of HIV-1 infection to AIDS in Portugal using a conditional EVT test with a new Independence Test for VaR violations.

TL;DR: In this article, the authors calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression, which is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters.

TL;DR: In this article, the long-run stability of some open Markov population fed with time-dependent Poisson inputs was studied by means of randomized sampling, and it was shown that state probabilities within transient states converge under general conditions on the transition matrix and input intensities.