Search results for "programming."
showing 10 items of 3035 documents
Reassessing Accuracy Rates of Median Decisions
2007
We show how Bruno de Finetti''s fundamental theorem of prevision has computable applications in statistical problems that involve only partial information. Specifically, we assess accuracy rates for median decision procedures used in the radiological diagnosis of asbestosis. Conditional exchangeability of individual radiologists'' diagnoses is recognized as more appropriate than independence which is commonly presumed. The FTP yields coherent bounds on probabilities of interest when available information is insufficient to determine a complete distribution. Further assertions that are natural to the problem motivate a partial ordering of conditional probabilities, extending the computation …
Identifying Causal Effects with the R Package causaleffect
2017
Do-calculus is concerned with estimating the interventional distribution of an action from the observed joint probability distribution of the variables in a given causal structure. All identifiable causal effects can be derived using the rules of do-calculus, but the rules themselves do not give any direct indication whether the effect in question is identifiable or not. Shpitser and Pearl constructed an algorithm for identifying joint interventional distributions in causal models, which contain unobserved variables and induce directed acyclic graphs. This algorithm can be seen as a repeated application of the rules of do-calculus and known properties of probabilities, and it ultimately eit…
Assessing uncertainty of voter transitions estimated from aggregated data. Application to the 2017 French presidential election
2020
[EN] Inferring electoral individual behaviour from aggregated data is a very active research area, with ramifications in sociology and political science. A new approach based on linear programming is proposed to estimate voter transitions among parties (or candidates) between two elections. Compared to other linear and quadratic programming models previously published, our approach presents two important innovations. Firstly, it explicitly deals with new entries and exits in the election census without assuming unrealistic hypotheses, enabling a reasonable estimation of vote behaviour of young electors voting for the first time. Secondly, by exploiting the information contained in the model…
Macroscopic Dynamic Effects of Migrations in Patchy Predator-prey Systems
1997
Abstract Different mechanisms at the behaviourial or physiological levels determine many properties of predator-prey systems at the population level. In this paper, we present a method of obtaining complex predator-prey dynamic models from models at a detailed, behaviourial level of description. We consider a multi-patch predator-prey model, the dynamics of which contains two time-scales: a fast one, associated with migrations between patches, and a slow one, on which interactions, reproduction and mortality occur. We use methods of perturbation theory in order to aggregate the multi-patch system into a reduced system of two differential equations for the total prey and predator populations…
dglars: An R Package to Estimate Sparse Generalized Linear Models
2014
dglars is a publicly available R package that implements the method proposed in Augugliaro, Mineo, and Wit (2013), developed to study the sparse structure of a generalized linear model. This method, called dgLARS, is based on a differential geometrical extension of the least angle regression method proposed in Efron, Hastie, Johnstone, and Tibshirani (2004). The core of the dglars package consists of two algorithms implemented in Fortran 90 to efficiently compute the solution curve: a predictor-corrector algorithm, proposed in Augugliaro et al. (2013), and a cyclic coordinate descent algorithm, proposed in Augugliaro, Mineo, and Wit (2012). The latter algorithm, as shown here, is significan…
Evaluation of Insurance Products with Guarantee in Incomplete Markets
2008
Abstract Life insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the written options. Also regulators are interested in such issues since they have to be aware of the possible scenarios that the overall industry will face. Pricing techniques based on the Black & Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met. To overcome Black & Scholes limitations, we develop a stochastic programming model to determine the fair price of the mini…
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
A non-linear optimization procedure to estimate distances and instantaneous substitution rate matrices under the GTR model.
2006
Abstract Motivation: The general-time-reversible (GTR) model is one of the most popular models of nucleotide substitution because it constitutes a good trade-off between mathematical tractability and biological reality. However, when it is applied for inferring evolutionary distances and/or instantaneous rate matrices, the GTR model seems more prone to inapplicability than more restrictive time-reversible models. Although it has been previously noted that the causes for intractability are caused by the impossibility of computing the logarithm of a matrix characterised by negative eigenvalues, the issue has not been investigated further. Results: Here, we formally characterize the mathematic…
Designing and pricing guarantee options in defined contribution pension plans
2015
Abstract The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continu…
A dynamical approach to compatible and incompatible questions
2019
We propose a natural strategy to deal with compatible and incompatible binary questions, and with their time evolution. The strategy is based on the simplest, non-commutative, Hilbert space $\mathcal{H}=\mathbb{C}^2$, and on the (commuting or not) operators on it. As in ordinary Quantum Mechanics, the dynamics is driven by a suitable operator, the Hamiltonian of the system. We discuss a rather general situation, and analyse the resulting dynamics if the Hamiltonian is a simple Hermitian matrix.