1,720,981 research outputs found
Grandi eventi, Olimpiadi e comuni alpini: costruire un'eredità olimpica condivisa nelle vallate olimpiche
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Assessing the default risk by means of a discrete-time survival analysis approach
No full textIn this paper, the problem of company distress is assessed by means of a multi-period model that exploits the potentialities of the survival analysis approach when both survival times and regressors are measured at discrete points in time. The discrete-time hazards model can be used both as an empirical framework in the analysis of the causes of the deterioration process that leads to the default and as a tool for the prediction of the same event. Our results show that the prediction accuracy of the duration model is better than that provided by a single-period logistic model. It is also shown that the predictive power of the discrete-time survival analysis is enhanced when it is extended to allow for unobserved individual heterogeneity (frailty). Copyright 2008 John Wiley & Sons, Ltd
Default risk analysis via a discrete-time cure rate model
No full textCure models represent an appealing tool when analyzing default time data where two groups of companies are supposed to coexist: those which could eventually experience a default (uncured) and those which could not develop an endpoint (cured). One of their most interesting properties is the possibility to distinguish among covariates exerting their influence on the probability of belonging to the populations’ uncured fraction, from those affecting the default time distribution. This feature allows a separate analysis of the two dimensions of the default risk: whether the default can occur and when it will occur, given that it can occur. Basing our analysis on a large sample of Italian firms, the probability of being uncured is here estimated with a binary logit regression, whereas a discrete time version of a Cox’s proportional hazards approach is used to model the time distribution of defaults. The extension of the cure model as a forecasting framework is then accomplished by replacing the discrete time baseline function with an appropriate time-varying system level covariate, able to capture the underlying macroeconomic cycle. We propose a holdout sample procedure to test the classification power of the cure model. When compared with a single-period logit regression and a standard duration analysis approach, the cure model has proven to be more reliable in terms of the overall predictive performance
Timing acquisition performance metrics of Tc–DTR UWB receivers over frequency–Selective fading channels with narrow–Band interference
No full textOn the Robustness of Tc-DTR UWB Receivers to Narrow-Band Interference: Performance Analysis and Guidelines for System Optimization
No full textSpace Shift Keying (SSK–) MIMO with Practical Channel Estimates
No full textIn this paper, we study the performance of space modulation for Multiple–Input–Multiple–Output (MIMO) wire- less systems with imperfect channel knowledge at the receiver. We focus our attention on two transmission technologies, which are the building blocks of space modulation: i) Space Shift Keying (SSK) modulation; and ii) Time–Orthogonal–Signal– Design (TOSD–) SSK modulation, which is an improved version of SSK modulation providing transmit–diversity. We develop a single–integral closed–form analytical framework to compute the Average Bit Error Probability (ABEP) of a mismatched detector for both SSK and TOSD–SSK modulations. The framework exploits the theory of quadratic–forms in conditional complex Gaussian Random Variables (RVs) along with the Gil–Pelaez inversion theorem. The analytical model is very general and can be used for arbitrary transmit– and receive–antennas, fading distributions, fading spatial correlations, and training pilots. The analytical derivation is substantiated through Monte Carlo simulations, and it is shown, over independent and identically distributed (i.i.d.) Rayleigh fading channels, that SSK modulation is as robust as single–antenna systems to imperfect channel knowledge, and that TOSD–SSK modulation is more robust to channel estimation errors than the Alamouti scheme. Further- more, it is pointed out that only few training pilots are needed to get reliable enough channel estimates for data detection, and that transmit– and receive–diversity of SSK and TOSD– SSK modulations are preserved even with imperfect channel knowledge
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