Arbeitspapier
Dynamic mixture-of-experts models for longitudinal and discrete-time survival data
We propose a general class of flexible models for longitudinal data with special emphasis on discrete-time survival data. The model is a finite mixture model where the subjects are allowed to move between components through time. The time-varying probability of component memberships is modeled as a function of subject-specific time-varying covariates. This allows for interesting within-subject dynamics and manageable computations even with a large number of subjects. Each parameter in the component densities and in the mixing function is connected to its own set of covariates through a link function. The models are estimated using a Bayesian approach via a highly efficient Markov Chain Monte Carlo (MCMC) algorithm with tailored proposals and variable selection in all set of covariates. The focus of the paper is on models for discrete-time survival data with an application to bankruptcy prediction for Swedish firms, using both exponential and Weibull mixture components. The dynamic mixture-of-experts models are shown to have an interesting interpretation and to dramatically improve the out-of-sample predictive density forecasts compared to models with time-invariant mixture probabilities.
- Language
-
Englisch
- Bibliographic citation
-
Series: Sveriges Riksbank Working Paper Series ; No. 268
- Classification
-
Wirtschaft
Bayesian Analysis: General
Duration Analysis; Optimal Timing Strategies
Firm Behavior: Theory
Bankruptcy; Liquidation
- Subject
-
Bayesian inference
Markov Chain Monte Carlo
Bayesian variable selection
Survival Analysis
Mixture-of-experts
- Event
-
Geistige Schöpfung
- (who)
-
Quiroz, Matias
Villani, Mattias
- Event
-
Veröffentlichung
- (who)
-
Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Quiroz, Matias
- Villani, Mattias
- Sveriges Riksbank
Time of origin
- 2013
Other Objects (12)
Schweden, 1 Krone
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Geldschein, 1 Krona, 1914
Efficient Bayesian inference for multiple change-point and mixture innovation models
The monetary policy decision-making process and the term structure of interest rates
Testing for the Lucas Critique: A Quantitative Investigation
How important are financial frictions in the US and the Euro area
Business cycle implications of mortgage spreads
Output gaps and robust monetary policy rules
Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States
The Swedish external position and the Krona
Schweden, 1 Krone
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Geldschein, 1 Krona, 1914
Efficient Bayesian inference for multiple change-point and mixture innovation models
The monetary policy decision-making process and the term structure of interest rates
Testing for the Lucas Critique: A Quantitative Investigation
How important are financial frictions in the US and the Euro area
Business cycle implications of mortgage spreads
Output gaps and robust monetary policy rules
Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States
The Swedish external position and the Krona
Schweden, 1 Krone
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Geldschein, 1 Krona, 1914
Efficient Bayesian inference for multiple change-point and mixture innovation models
The monetary policy decision-making process and the term structure of interest rates
Testing for the Lucas Critique: A Quantitative Investigation
How important are financial frictions in the US and the Euro area
Business cycle implications of mortgage spreads
Output gaps and robust monetary policy rules
Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States