9,951 research outputs found
Common Failings: How Corporate Defaults are Correlated
We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities. This assumption is violated in the presence of contagion or "frailty" (unobservable explanatory variables that are correlated across firms). Our tests do not depend on the time-series properties of default intensities. The data do not support the joint hypothesis of well specified default intensities and the doubly-stochastic assumption. There is also some evidence of default clustering in excess of that implied by the doubly-stochastic model with the given intensities.
A Rate-Compatible Sphere-Packing Analysis of Feedback Coding with Limited Retransmissions
Recent work by Polyanskiy et al. and Chen et al. has excited new interest in
using feedback to approach capacity with low latency. Polyanskiy showed that
feedback identifying the first symbol at which decoding is successful allows
capacity to be approached with surprisingly low latency. This paper uses Chen's
rate-compatible sphere-packing (RCSP) analysis to study what happens when
symbols must be transmitted in packets, as with a traditional hybrid ARQ
system, and limited to relatively few (six or fewer) incremental transmissions.
Numerical optimizations find the series of progressively growing cumulative
block lengths that enable RCSP to approach capacity with the minimum possible
latency. RCSP analysis shows that five incremental transmissions are sufficient
to achieve 92% of capacity with an average block length of fewer than 101
symbols on the AWGN channel with SNR of 2.0 dB.
The RCSP analysis provides a decoding error trajectory that specifies the
decoding error rate for each cumulative block length. Though RCSP is an
idealization, an example tail-biting convolutional code matches the RCSP
decoding error trajectory and achieves 91% of capacity with an average block
length of 102 symbols on the AWGN channel with SNR of 2.0 dB. We also show how
RCSP analysis can be used in cases where packets have deadlines associated with
them (leading to an outage probability).Comment: To be published at the 2012 IEEE International Symposium on
Information Theory, Cambridge, MA, USA. Updated to incorporate reviewers'
comments and add new figure
A statistical inference method for the stochastic reachability analysis.
The main contribution of this paper is the characterization of reachability problem associated to stochastic hybrid systems in terms of imprecise probabilities. This provides the connection between reachability problem and Bayesian statistics. Using generalised Bayesian statistical inference, a new concept of conditional reach set probabilities is defined. Then possible algorithms to compute the reach set probabilities are derived
Estimating Marginal Returns to Higher Education in the UK
A long-standing issue in the literature on education is whether marginal returns to education fall as education rises. If the population differs in its rate of return, a closely related question is whether marginal returns to higher education fall as a greater fraction of the population enrolls. This paper proposes a nonparametric method of estimating marginal treatment effects in heterogeneous populations, and applies it to this question, examining returns to higher education in the UK. The results indicate that marginal returns to higher education fall as the proportion of the population with higher education rises, consistent with the Becker Woytinsky Lecture hypothesis.
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