Table 1.
Relative mean squared deviation error based on moments (MEM) and reconstruction (MER) estimates, ratios of two ME’s {moments (rME, MB) and reconstruction (rME, RB) estimates over binning estimates} for the three simulation set-ups: case (a) general unsynchronized binary response, case (b) general unsynchronized count response and case (c) unsynchronized binary response with diagonal support analogous to the CDS data. Median and 25% and 75% percentiles of the deviation measures are presented based 200 Monte Carlo runs/data sets.
Case | n | σ2 | MEM | MER | rME, MB | rME, RB | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Med | 25% | 75% | Med | 25% | 75% | Med | 25% | 75% | Med | 25% | 75% | |||
(a) | 100 | 2 | .182 | .134 | .254 | .167 | .114 | .234 | .197 | .112 | .344 | .179 | .106 | .322 |
(a) | 100 | 4 | .136 | .097 | .196 | .101 | .069 | .146 | .212 | .137 | .329 | .153 | .090 | .252 |
(a) | 100 | 6 | .115 | .086 | .159 | .081 | .060 | .110 | .222 | .147 | .319 | .148 | .088 | .224 |
| ||||||||||||||
(a) | 200 | 2 | .114 | .080 | .154 | .084 | .056 | .119 | .183 | .124 | .252 | .138 | .088 | .196 |
(a) | 200 | 4 | .083 | .062 | .118 | .053 | .035 | .070 | .200 | .153 | .280 | .118 | .080 | .183 |
(a) | 200 | 6 | .087 | .064 | .117 | .042 | .032 | .059 | .231 | .162 | .325 | .109 | .073 | .158 |
| ||||||||||||||
(b) | 100 | 2 | .084 | .048 | .124 | .061 | .039 | .089 | .223 | .134 | .398 | .162 | .090 | .276 |
(b) | 100 | 4 | .040 | .027 | .066 | .028 | .018 | .040 | .156 | .107 | .321 | .112 | .067 | .183 |
(b) | 100 | 6 | .034 | .022 | .049 | .021 | .013 | .031 | .178 | .105 | .290 | .116 | .065 | .174 |
| ||||||||||||||
(b) | 200 | 2 | .040 | .024 | .065 | .026 | .016 | .042 | .158 | .095 | .256 | .093 | .059 | .172 |
(b) | 200 | 4 | .024 | .017 | .038 | .015 | .009 | .022 | .135 | .096 | .217 | .080 | .049 | .137 |
(b) | 200 | 6 | .019 | .013 | .026 | .010 | .007 | .014 | .134 | .095 | .194 | .068 | .045 | .109 |
| ||||||||||||||
(c) | 200 | 2 | .217 | .133 | .315 | .184 | .121 | .282 | .679 | .417 | 1.073 | .589 | .340 | .886 |
(c) | 200 | 4 | .160 | .119 | .226 | .128 | .087 | .198 | .693 | .395 | 1.214 | .539 | .345 | .888 |
(c) | 200 | 6 | .158 | .114 | .218 | .108 | .072 | .165 | .657 | .438 | 1.216 | .487 | .306 | .797 |
| ||||||||||||||
(c) | 400 | 2 | .134 | .087 | .180 | .101 | .074 | .142 | .681 | .450 | 1.051 | .543 | .380 | .863 |
(c) | 400 | 4 | .102 | .072 | .134 | .076 | .055 | .097 | .804 | .564 | 1.070 | .636 | .418 | .896 |
(c) | 400 | 6 | .101 | .070 | .129 | .059 | .044 | .088 | .913 | .648 | 1.265 | .565 | .378 | .826 |