Actuarial Outpost Mahler Exam 4 #5
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#1
06-03-2017, 04:31 PM
 thatchedroof SOA Join Date: Nov 2013 Posts: 3
Mahler Exam 4 #5

Hi,

Can someone explain how the variance of an estimated value of a Survival function, using the delta method, is (inverse of the information matrix) (transpose of gradient vector) (gradient vector)?

If the gradient vector is (-0.0083, 0.0000116), would appreciate also if someone can explain how
(0.029 12 ) (-0.0083 ) (-0.0083, 0.0000116)
( 12 5333) (0.0000116)

becomes (-0.0083, 0.0000116) (-0.0001015, -0.0378) = 0.00000040.

Thanks.
#2
06-05-2017, 01:31 PM
 Academic Actuary Member Join Date: Sep 2009 Posts: 8,468

Once someone had a question about a Mahler problem and I asked them to post the problem. Mahler sent me a message saying that it would be a copyright violation and people should contact him. That is my advice.
#3
06-11-2017, 05:02 PM
 thatchedroof SOA Join Date: Nov 2013 Posts: 3

Ok, was unaware. Thanks for letting me know.
#4
06-11-2017, 05:06 PM
 Abelian Grape Meme-ber                         Meme-ber CAS Join Date: Jul 2014 Favorite beer: Allagash Curieux Posts: 42,062

np
__________________
Quote:
 Originally Posted by Pension.Mathematics what's your problem man?

 Tags delta method, gradient vector, information, mahler, matrix