43 research outputs found
Learning Economic Parameters from Revealed Preferences
A recent line of work, starting with Beigman and Vohra (2006) and
Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a
utility function from revealed preference data. The goal here is to make use of
past data describing the purchases of a utility maximizing agent when faced
with certain prices and budget constraints in order to produce a hypothesis
function that can accurately forecast the {\em future} behavior of the agent.
In this work we advance this line of work by providing sample complexity
guarantees and efficient algorithms for a number of important classes. By
drawing a connection to recent advances in multi-class learning, we provide a
computationally efficient algorithm with tight sample complexity guarantees
( for the case of goods) for learning linear utility
functions under a linear price model. This solves an open question in
Zadimoghaddam and Roth (2012). Our technique yields numerous generalizations
including the ability to learn other well-studied classes of utility functions,
to deal with a misspecified model, and with non-linear prices
Consumer choice and revealed bounded rationality
We study two boundedly rational procedures in consumer behavior. We show that these procedures can be detected by conditions on observable demand data of the same type as standard revealed preference axioms. This provides the basis for a non-parametric analysis of boundedly rational consumer behavior mirroring the classical one for utility maximization
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Published in Handbook of financial time series, 2008, https://doi.org/10.1007/978-3-540-71297-8_22</p
Maximum likelihood and Gaussian estimation of continuous time models in finance
Ministry of Education, Singapore under its Academic Research Funding Tier
What kind of preference maximization does the weak axiom of revealed preference characterize?
Weak axiom of revealed preference, Congruence, D0,