14,889 research outputs found
A Robbins-Monro procedure for estimation in semiparametric regression models
This paper is devoted to the parametric estimation of a shift together with
the nonparametric estimation of a regression function in a semiparametric
regression model. We implement a very efficient and easy to handle
Robbins-Monro procedure. On the one hand, we propose a stochastic algorithm
similar to that of Robbins-Monro in order to estimate the shift parameter. A
preliminary evaluation of the regression function is not necessary to estimate
the shift parameter. On the other hand, we make use of a recursive
Nadaraya-Watson estimator for the estimation of the regression function. This
kernel estimator takes into account the previous estimation of the shift
parameter. We establish the almost sure convergence for both Robbins-Monro and
Nadaraya--Watson estimators. The asymptotic normality of our estimates is also
provided. Finally, we illustrate our semiparametric estimation procedure on
simulated and real data.Comment: Published in at http://dx.doi.org/10.1214/12-AOS969 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Toric Border Bases
We extend the theory and the algorithms of Border Bases to systems of Laurent
polynomial equations, defining "toric" roots. Instead of introducing new
variables and new relations to saturate by the variable inverses, we propose a
more efficient approach which works directly with the variables and their
inverse. We show that the commutation relations and the inversion relations
characterize toric border bases. We explicitly describe the first syzygy module
associated to a toric border basis in terms of these relations. Finally, a new
border basis algorithm for Laurent polynomials is described and a proof of its
termination is given for zero-dimensional toric ideals
Counting eigenvalues in domains of the complex field
A procedure for counting the number of eigenvalues of a matrix in a region
surrounded by a closed curve is presented. It is based on the application of
the residual theorem. The quadrature is performed by evaluating the principal
argument of the logarithm of a function. A strategy is proposed for selecting a
path length that insures that the same branch of the logarithm is followed
during the integration. Numerical tests are reported for matrices obtained from
conventional matrix test sets.Comment: 21 page
Solving large sparse eigenvalue problems on supercomputers
An important problem in scientific computing consists in finding a few eigenvalues and corresponding eigenvectors of a very large and sparse matrix. The most popular methods to solve these problems are based on projection techniques on appropriate subspaces. The main attraction of these methods is that they only require the use of the matrix in the form of matrix by vector multiplications. The implementations on supercomputers of two such methods for symmetric matrices, namely Lanczos' method and Davidson's method are compared. Since one of the most important operations in these two methods is the multiplication of vectors by the sparse matrix, methods of performing this operation efficiently are discussed. The advantages and the disadvantages of each method are compared and implementation aspects are discussed. Numerical experiments on a one processor CRAY 2 and CRAY X-MP are reported. Possible parallel implementations are also discussed
The performance of amateur traders on a public internet site: a case of a stock-exchange contest
We analyze a very thorough data base, including all of the bid/ask orders and daily portfolio values of more than 600 on-line amateur traders from February 2007 to June 2009. These traders were taking part in a stock-exchange contest proposed by the French Internet stock-exchange site Zonebourse. More than 80% of traders lose relative to the market. Their relative average annual performance varies from -38% to -60%, depending on the method used. In absolute, more than 99% of traders lose and face drastic losses: on average, portfolio values fall from an initial value of 100 to a terminal value of 7 in the 29 months covered here. When we include the rewards offered by the contest, average performance becomes -13% a year. However, only two deciles continue to beat the market. From an initial value of 100 the final value is 28 including rewards, but 95% of traders still lose in absolute. There is no clear performance persistence for traders. Are the best traders just lucky then? Focusing on contest winners, the long-term transition analysis suggests a long-term probability of staying in the best decile which is greater than chance. We thus cannot reject a âstar effectâ of staying in the best decile. However, the great majority of amateurs do seem to be e-pigeons. Online trading may just be costly entertainment, like casino gambling.Behavioral finance, finance, online trading, amateur traders , e-pigeons, trade losses
Existence of pseudo-equilibria in a financial economy
This paper proves the existence of a pseudo-equilibrium in a financial economy with incomplete markets in which the agents may have nonordered preferences. We will use a fixed-point-like theorem of [4] that generalizes the results by Hirsch, Magill, Mas-Colell [18] and Husseini, Lasry, Magill [19] to encompass the framework considered by Gale and Mas-Colell ([14],[15]).Pseudo-equilibrium, incomplete markets, nonordered preferences, fixed-point-like theorems, Grassmann manifold.
Okun's Law, Creation of Money and the Decomposition of the Rate of Unemployment
In this paper, we show that the rate of unemployment in period t depends on GDP and inflation rate in period t-1. We then show that GDP is related to money creation, and subsequently that the rate of unemployment is a decreasing function of this creation.Creation of Money ; Decomposition ; GDP ; Rate of Unemployement
Two-part pricing, public discriminating monopoly and redistribution : a note.
This note analyzes some properties of optional two-part pricing in a two-type economy. First, the optimal contracts along the Paretian frontier are described. Then, the duality relation between the Rawlsian program and the discriminating monopoly is demonstrated. Last, this property is used to build a mutualist mechanism implementing the constrained Pareto optima.Monopolies; Pricing; Two-part pricing;
Existence of pseudo-equilibria in a financial economy
This paper proves the existence of a pseudo-equilibrium in a financial economy with incomplete markets in which the agents may have nonordered preferences. We will use a fixed-point-like theorem of Bich and Cornet that generalizes the results by Hirsch, Magill, Mas-Colell [18] and Husseini, Lasry, Magill [19] to encompass the framework considered by Gale and Mas-Colell ([14], [15]).Pseudo-equilibrium ; incomplete markets ; nonordered preferences ; fixed-point-like theorems ; Grassmann manifold
On Space-Time Capacity Limits in Mobile and Delay Tolerant Networks
We investigate the fundamental capacity limits of space-time journeys of
information in mobile and Delay Tolerant Networks (DTNs), where information is
either transmitted or carried by mobile nodes, using store-carry-forward
routing. We define the capacity of a journey (i.e., a path in space and time,
from a source to a destination) as the maximum amount of data that can be
transferred from the source to the destination in the given journey. Combining
a stochastic model (conveying all possible journeys) and an analysis of the
durations of the nodes' encounters, we study the properties of journeys that
maximize the space-time information propagation capacity, in bit-meters per
second. More specifically, we provide theoretical lower and upper bounds on the
information propagation speed, as a function of the journey capacity. In the
particular case of random way-point-like models (i.e., when nodes move for a
distance of the order of the network domain size before changing direction), we
show that, for relatively large journey capacities, the information propagation
speed is of the same order as the mobile node speed. This implies that,
surprisingly, in sparse but large-scale mobile DTNs, the space-time information
propagation capacity in bit-meters per second remains proportional to the
mobile node speed and to the size of the transported data bundles, when the
bundles are relatively large. We also verify that all our analytical bounds are
accurate in several simulation scenarios.Comment: Part of this work will be presented in "On Space-Time Capacity Limits
in Mobile and Delay Tolerant Networks", P. Jacquet, B. Mans and G. Rodolakis,
IEEE Infocom, 201
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