Browsing Bergen Open Research Archive by Author "Berentsen, Geir Drage"
Now showing items 1-7 of 7
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Analysis of left truncated data with an application to insurance data
Berentsen, Geir Drage (Master thesis, 2009-06-02)This thesis discusses different ways of analysing left truncated data when the lower bound itself is a stochastic variable. We will consider the possible dependence between the variable of interest and the truncating ... -
Computational issues in parameter estimation for hidden Markov models with template model builder
Bacri, Timothee Raphael Ferdinand; Berentsen, Geir Drage; Bulla, Jan; Støve, Bård (Journal article; Peer reviewed, 2023)A popular way to estimate the parameters of a hidden Markov model (HMM) is direct numerical maximization (DNM) of the (log-)likelihood function. The advantages of employing the TMB [Kristensen K, Nielsen A, Berg C, et al. ... -
A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
Bacri, Timothee Raphael Ferdinand; Berentsen, Geir Drage; Bulla, Jan; Hølleland, Sondre Nedreås (Journal article; Peer reviewed, 2022)A very common way to estimate the parameters of a hidden Markov model (HMM) is the relatively straightforward computation of maximum likelihood (ML) estimates. For this task, most users rely on user-friendly implementation ... -
Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis
Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2022)The Granger causality test is essential for detecting lead–lag relationships between time series. Traditionally, one uses a linear version of the test, essentially based on a linear time series regression, itself being ... -
Modelling clusters of corporate defaults: Regime-switching models significantly reduce the contagion source
Berentsen, Geir Drage; Bulla, Jan; Maruotti, Antonello; Støve, Bård (Journal article; Peer reviewed, 2022)In this paper, we report robust evidence that the process of corporate defaults is time-dependent and can be modelled by extending an autoregressive count time series model class via the introduction of regime-switching. ... -
Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Sleire, Anders Daasvand; Støve, Bård; Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne; Haugen, Sverre Hauso (Journal article; Peer reviewed, 2021)It is well known that there are asymmetric dependence structures between financial returns. This paper describes a portfolio selection method rooted in the classical mean–variance framework that incorporates such asymmetric ... -
Variation in use of Caesarean section in Norway: An application of spatio-temporal Gaussian random fields
Mannseth, Janne; Berentsen, Geir Drage; Skaug, Hans Julius; Lie, Rolv T.; Moster, Dag (Journal article; Peer reviewed, 2021)Aims: Caesarean section (CS) is a medical intervention performed in Norway when a surgical delivery is considered more beneficial than a vaginal. Because deliveries with higher risk are centralized to larger hospitals, ...