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Department Seminar by Johanna ZiegelExport this event to calendar

Friday, October 23, 2020 — 10:00 AM EDT

Please Note: This seminar will be given online.

Actuarial Science and Financial Mathematics Seminar Series

Johanna Ziegel, Professor
University of Bern

Link to join seminar: Hosted on Webex.

Distributional (Single) Index Models


A Distributional (Single) Index Model (DIM) is a semi-parametric model for distributional regression, that is, estimation of conditional distributions given covariates. The method is a combination of classical single index models for the estimation of the conditional mean of a response given covariates, and isotonic distributional regression. The model for the index is parametric, whereas the conditional distributions are estimated non-parametrically under a stochastic ordering constraint. We show consistency of our estimators and apply them to a highly challenging data set on the length of stay (LoS) of patients in intensive care units. We use the model to provide skillful and calibrated probabilistic predictions for the LoS of individual patients, that outperform the available methods in the literature.

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