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    Simulation-based estimation: a case study in oncology (SIMEST) and a case study in portfolio selection (SIMUGRAM)

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    Author
    Thompson, James R.
    Date
    2014
    Abstract
    Since the time of Poisson, stochastic processes have been axiomatized in the temporally forward direction. Yet for nearly a century, estimation of parameters and even forecasts have been based on likelihood approaches that start with temporally indexed data and then look backward in time. I shall be using the philosophy of Karl Pearson [Scott DW, Tapia RA, Thompson JR. Karl Pearson was right. Computer Science and Statistics: Tenth Annual Symposium on the Interface; 1978, 179?183] in this article where I create, using a forward model, a large virtual universe of happenings based on the assumption of four parameters characterizing an oncological process based on four Poissonian processes. Bins will be formed in the real time space based on the actual data of real world system of times of discovery of primary and secondary tumors and use bin boundaries that enclose roughly 5% of the actual tumor discover data and compare the bin proportions of virtual data with the proportions of actual data in each of the bins. This will enable us to use Karl Pearson's goodness-of-fit criterion as the objective function for a Nelder-Mead optimization. We present here an oncological example where the objective is to estimate four parameters relevant to the progression of breast cancer. This procedure is termed the SIMEST paradigm.Then we briefly describe the patented SIMUGRAM for estimating the distribution of portfolio values using daily resampling strategies. This procedure makes minimal model assumptions and is completely based on data.
    Citation
    Thompson, James R.. "Simulation-based estimation: a case study in oncology (SIMEST) and a case study in portfolio selection (SIMUGRAM)." WIREs, 6, no. 6 (2014) Wiley: 379-385. http://dx.doi.org/10.1002/wics.1320.
    Published Version
    http://dx.doi.org/10.1002/wics.1320
    Keyword
    breast cancer; forward estimation; portfolio forecasting
    Type
    Journal article
    Publisher
    Wiley
    Citable link to this page
    https://hdl.handle.net/1911/78485
    Rights
    This is an author's peer-reviewed final manuscript, as accepted by the publisher. The published article is copyrighted by Wiley.
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    Collections
    • Faculty Publications [4918]
    • Statistics Publications [136]
    • Works of James R. Thompson [16]

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    Home | FAQ | Contact Us | Privacy Notice | Accessibility Statement
    Managed by the Digital Scholarship Services at Fondren Library, Rice University
    Physical Address: 6100 Main Street, Houston, Texas 77005
    Mailing Address: MS-44, P.O.BOX 1892, Houston, Texas 77251-1892
    Site Map