Search results for " Uncertainty"
showing 10 items of 777 documents
Portfolio optimisation with strictly positive transaction costs and impulse control
1998
One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This assumption normally leads to trading strategies with infinite variation. However, following such a strategy in the presence of transaction costs will lead to immediate ruin. We present an impulse control approach where the investor can change his portfolio only finitely often in finite time intervals. Further, we consider transaction costs including a fixed and a proportional cost component. For the solution of the resulting control problems we present a formal optimal stopping approach and an approach using quasi-variational inequalities. As an application we derive a non…
A Bayesian SIRS model for the analysis of respiratory syncytial virus in the region of Valencia, Spain
2014
We present a Bayesian stochastic susceptible-infected-recovered-susceptible (SIRS) model in discrete time to understand respiratory syncytial virus dynamics in the region of Valencia, Spain. A SIRS model based on ordinary differential equations has also been proposed to describe RSV dynamics in the region of Valencia. However, this continuous-time deterministic model is not suitable when the initial number of infected individuals is small. Stochastic epidemic models based on a probability of disease transmission provide a more natural description of the spread of infectious diseases. In addition, by allowing the transmission rate to vary stochastically over time, the proposed model provides…
Eleccion de variables en regresion lineal un problema de decision
1986
A general structure for the problem of selection of variables in regression is proposed using the decision theory framework. In particular, some results for the choice of the best linear normal homocedastic model are obtained when the main purpose is either to specify the predictive distribution over the response variable or to obtain a point estimate of it. A comparison of our results with the most widespread classical ones is presented
Asymptotic efficiency of the calibration estimator in a high-dimensional data setting
2022
Abstract In a finite population sampling survey, auxiliary information is commonly used to improve the Horvitz-Thompson estimators and calibration has been extensively used by national statistical agencies over the last decades for that purpose. This method enables to make estimators consistent with known totals of auxiliary variables and to reduce variance if the calibration variables are explanatory for the variable of interest. Nowadays, it is not unusual anymore to have high-dimensional auxiliary data sets and adding too much additional calibration variables may increase the variance of calibration estimators. We study in this paper the asymptotic efficiency of the calibration estimator…
An extended continuous mapping theorem for outer almost sure weak convergence
2019
International audience; We prove an extended continuous mapping theorem for outer almost sure weak convergence in a metric space, a notion that is used in bootstrap empirical processes theory. Then we make use of those results to establish the consistency of several bootstrap procedures in empirical likelihood theory for functional parameters.
IndElec: A Software for Analyzing Party Systems and Electoral Systems
2011
IndElec is a software addressed to compute a wide range of indices from electoral data, which are intended to analyze both party systems and electoral systems in political studies. Further, IndElec can calculate such indices from electoral data at several levels of aggregation, even when the acronyms of some political parties change across districts. As the amount of information provided by IndElec may be considerable, this software also aids the user in the analysis of electoral data through three capabilities. First, IndElec automatically elaborates preliminary descriptive statistical reports of computed indices. Second, IndElec saves the computed information into text files in data matri…
Meta-work and the analogous Jarzynski relation in ensembles of dynamical trajectories
2014
Recently there has been growing interest in extending the thermodynamic method from static configurations to dynamical trajectories. In this approach, ensembles of trajectories are treated in an analogous manner to ensembles of configurations in equilibrium statistical mechanics: generating functions of dynamical observables are interpreted as partition sums, and the statistical properties of trajectory ensembles are encoded in free-energy functions that can be obtained through large-deviation methods in a suitable large time limit. This establishes what one can call a 'thermodynamics of trajectories'. In this paper we go a step further, and make a first connection to fluctuation theorems b…
Graphical User Interfaces for R
2012
Since R was first launched, it has managed to gain the support of an ever-increasing percentage of academic and professional statisticians. However, the spread of its use among novice and occasional users of statistics have not progressed at the same pace, which can be attributed partially to the lack of a graphical user interface (GUI). Nevertheless, this situation has changed in the last years and there is currently several projects that have added GUIs to R. This article discusses briefly the history of GUIs for data analysis and then introduces the papers submitted to an special issue of the Journal of Statistical Software on GUIs for R.
On delocalization of eigenvectors of random non-Hermitian matrices
2019
We study delocalization of null vectors and eigenvectors of random matrices with i.i.d entries. Let $A$ be an $n\times n$ random matrix with i.i.d real subgaussian entries of zero mean and unit variance. We show that with probability at least $1-e^{-\log^{2} n}$ $$ \min\limits_{I\subset[n],\,|I|= m}\|{\bf v}_I\| \geq \frac{m^{3/2}}{n^{3/2}\log^Cn}\|{\bf v}\| $$ for any real eigenvector ${\bf v}$ and any $m\in[\log^C n,n]$, where ${\bf v}_I$ denotes the restriction of ${\bf v}$ to $I$. Further, when the entries of $A$ are complex, with i.i.d real and imaginary parts, we show that with probability at least $1-e^{-\log^{2} n}$ all eigenvectors of $A$ are delocalized in the sense that $$ \min\l…
A PHASE TRANSITION FOR LARGE VALUES OF BIFURCATING AUTOREGRESSIVE MODELS
2019
We describe the asymptotic behavior of the number $$Z_n[a_n,\infty )$$ of individuals with a large value in a stable bifurcating autoregressive process, where $$a_n\rightarrow \infty $$ . The study of the associated first moment is equivalent to the annealed large deviation problem of an autoregressive process in a random environment. The trajectorial behavior of $$Z_n[a_n,\infty )$$ is obtained by the study of the ancestral paths corresponding to the large deviation event together with the environment of the process. This study of large deviations of autoregressive processes in random environment is of independent interest and achieved first. The estimates for bifurcating autoregressive pr…