Search results for "Mathematica"

Weighted samples, kernel density estimators and convergence

2003

This note extends the standard kernel density estimator to the case of weighted samples in several ways. In the first place I consider the obvious extension by substituting the simple sum in the definition of the estimator by a weighted sum, but I also consider other alternatives of introducing weights, based on adaptive kernel density estimators, and consider the weights as indicators of the informational content of the observations and in this sense as signals of the local density of the data. All these ideas are shown using the Penn World Table in the context of the macroeconomic convergence issue.

Weighted weak semivalues

2000

We introduce two new value solutions: weak semivalues and weighted weak semivalues. They are subfamilies of probabilistic values, and they appear by adding the axioms of balanced contributions and weighted balanced contributions respectively. We show that the effect of the introduction of these axioms is the appearance of consistency in the beliefs of players about the game.

The multichoice consistent value

2000

We consider multichoice NTU games, i.e., cooperative NTU games in which players can participate in the game with several levels of activity. For these games, we define and characterize axiomatically the multichoice consistent value, which is a generalization of the consistent NTU value for NTU games and of the multichoice value for multichoice TU games. Moreover, we show that this value coincides with the consistent NTU value of a replicated NTU game and we provide a probabilistic interpretation.

The equal collective gains value in cooperative games

2021

AbstractThe property of equal collective gains means that each player should obtain the same benefit from the cooperation of the other players in the game. We show that this property jointly with efficiency characterize a new solution, called the equal collective gains value (ECG-value). We introduce a new class of games, the average productivity games, for which the ECG-value is an imputation. For a better understanding of the new value, we also provide four alternative characterizations of it, and a negotiation model that supports it in subgame perfect equilibrium.

Ruin probabilities in the presence of heavy tails and interest rates

1997

Abstract We study the infinite time ruin probability for the classical Cramer-Lundberg model, where the company also receives interest on its reserve. We consider the large claims case, where the claim size distribution F has a regularly varying tail. Hence our results apply for instance to Pareto, loggamma, certain Benktander and stable claim size distributions. We prove that for a positive force of interest δ the ruin probability ψδ (u) ∼ κδ (1 - F(u)) as the initial risk reserve u→∞. This is quantitatively different from the non-interest model, where ψ(u) ∼ κ (1 – F(y)) dy.

The Raising Factor, That Great Unknown. A Guided Activity for Undergraduate Students

2020

In the first years of their economics degree programs, students will face many problems successfully dealing with a range of subjects with quantitative content. Specifically, in the field of statistics, difficulties to reach some basic academic achievements have been observed. Hence, a continuing challenge for statistics teachers is how to make this subject more appealing for students through the design and implementation of new teaching methodologies. The latter tend to follow two main approaches. On the one hand, it is useful for the learning process to propose practical activities that can connect theoretical concepts with real applications in the economic context. On the other hand, we …

Causal diagrams for empirical research

1995

Bayesian joint ordinal and survival modeling for breast cancer risk assessment

2016

We propose a joint model to analyze the structure and intensity of the association between longitudinal measurements of an ordinal marker and time to a relevant event. The longitudinal process is defined in terms of a proportional-odds cumulative logit model. Time-to-event is modeled through a left-truncated proportionalhazards model, which incorporates information of the longitudinal marker as well as baseline covariates. Both longitudinal and survival processes are connected by means of a common vector of random effects. General inferences are discussed under the Bayesian approach and include the posterior distribution of the probabilities associated to each longitudinal category and the …

Robust nonparametric statistical methods. Thomas P. Hettmansperger and Joseph McKean, Arnold/Wiley, London/New York, 1998. No. of pages: xi+467. Pric…

1999

Balanced Asymmetrical Nearly Orthogonal Designs for first and second order effect estimation

2006

Abstract A method for constructing asymmetrical (mixed-level) designs, satisfying the balancing and interaction estimability requirements with a number of runs as small as possible, is proposed in this paper. The method, based on a heuristic procedure, uses a new optimality criterion formulated here. The proposed method demonstrates efficiency in terms of searching time and optimality of the attained designs. A complete collection of such asymmetrical designs with two- and three-level factors is available. A technological application is also presented.