13,393 research outputs found
WAGE DISTRIBUTION IN SPAIN, 1994-1999: AN APPLICATION OF A FLEXIBLE ESTIMATOR OF CONDITIONAL DISTRIBUTIONS
To investigate the trends in wages in Spain in 1994-1999, we propose a flexible estimator of conditional distributions. The estimator, based on a piecewise-linear specification of the conditional hazard function, allows us to capture almost any underlying relationship and is unaffected by the curse of dimensionality. Our results reveal that the main changes in the labor market involved graduate workers entering the labor market: the ¿overeducation¿ phenomenon intensified in Spain between 1994 and 1999, provoking a decrease in returns to schooling at higher levels of education. En este trabajo proponemos analizar la evolución de los salarios en España entre 1994 y 1999 utilizando un estimador flexible de las distribuciones condicionales. Este estimador, basado en una especificación lineal a tramos de la función de razón de fallo condicional, permite captar casi cualquier relación subyacente, y no se ve afectado por la maldición de la dimensionalidad. Los resultados que obtenemos muestran que los cambios más importantes en el mercado laboral se han producido en el grupo de los trabajadores con estudios superiores que entran al mercado laboral. En concreto, se observa que el fenómeno de “sobreeducación” se intensificó en España entre 1994 y 1999, provocando un descenso de los rendimientos de la educación en los niveles de educación superiores.Estimación basada en la función de fallo; Distribución salarial Hazard-Based Estimation; Wage Distribution
Caveats for information bottleneck in deterministic scenarios
Information bottleneck (IB) is a method for extracting information from one
random variable that is relevant for predicting another random variable
. To do so, IB identifies an intermediate "bottleneck" variable that has
low mutual information and high mutual information . The "IB
curve" characterizes the set of bottleneck variables that achieve maximal
for a given , and is typically explored by maximizing the "IB
Lagrangian", . In some cases, is a deterministic
function of , including many classification problems in supervised learning
where the output class is a deterministic function of the input . We
demonstrate three caveats when using IB in any situation where is a
deterministic function of : (1) the IB curve cannot be recovered by
maximizing the IB Lagrangian for different values of ; (2) there are
"uninteresting" trivial solutions at all points of the IB curve; and (3) for
multi-layer classifiers that achieve low prediction error, different layers
cannot exhibit a strict trade-off between compression and prediction, contrary
to a recent proposal. We also show that when is a small perturbation away
from being a deterministic function of , these three caveats arise in an
approximate way. To address problem (1), we propose a functional that, unlike
the IB Lagrangian, can recover the IB curve in all cases. We demonstrate the
three caveats on the MNIST dataset
Stabilised finite element methods for ill-posed problems with conditional stability
In this paper we discuss the adjoint stabilised finite element method
introduced in, E. Burman, Stabilized finite element methods for nonsymmetric,
noncoercive and ill-posed problems. Part I: elliptic equations, SIAM Journal on
Scientific Computing, and how it may be used for the computation of solutions
to problems for which the standard stability theory given by the Lax-Milgram
Lemma or the Babuska-Brezzi Theorem fails. We pay particular attention to
ill-posed problems that have some conditional stability property and prove
(conditional) error estimates in an abstract framework. As a model problem we
consider the elliptic Cauchy problem and provide a complete numerical analysis
for this case. Some numerical examples are given to illustrate the theory.Comment: Accepted in the proceedings from the EPSRC Durham Symposium Building
Bridges: Connections and Challenges in Modern Approaches to Numerical Partial
Differential Equation
Computable lower bounds for deterministic parameter estimation
This paper is primarily tutorial in nature and presents a simple approach(norm minimization under linear constraints) for deriving computable lower bounds on the MSE of deterministic parameter estimators with a clear interpretation of the bounds. We also address the issue of lower bounds tightness in comparison with the MSE of ML estimators and their ability to predict the SNR threshold region. Last, as many practical estimation problems must be regarded as joint detection-estimation problems, we remind that the estimation performance must be conditional on detection performance, leading to the open problem of the fundamental limits of the joint detectionestimation performance
B-spline techniques for volatility modeling
This paper is devoted to the application of B-splines to volatility modeling,
specifically the calibration of the leverage function in stochastic local
volatility models and the parameterization of an arbitrage-free implied
volatility surface calibrated to sparse option data. We use an extension of
classical B-splines obtained by including basis functions with infinite
support. We first come back to the application of shape-constrained B-splines
to the estimation of conditional expectations, not merely from a scatter plot
but also from the given marginal distributions. An application is the Monte
Carlo calibration of stochastic local volatility models by Markov projection.
Then we present a new technique for the calibration of an implied volatility
surface to sparse option data. We use a B-spline parameterization of the
Radon-Nikodym derivative of the underlying's risk-neutral probability density
with respect to a roughly calibrated base model. We show that this method
provides smooth arbitrage-free implied volatility surfaces. Finally, we sketch
a Galerkin method with B-spline finite elements to the solution of the partial
differential equation satisfied by the Radon-Nikodym derivative.Comment: 25 page
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