On adaptive posterior concentration rates

We investigate the problem of deriving posterior concentration rates under different loss functions in nonparametric Bayes. We first provide a lower bound on posterior coverages of shrinking neighbourhoods that relates the metric or loss under which the shrinking neighbourhood is considered, and an intrinsic pre-metric linked to frequentist separation rates. In the Gaussian white noise model, we construct feasible priors based on a spike and slab procedure reminiscent of wavelet thresholding that achieve adaptive rates of contraction under $L^2$ or $L^{\infty}$ metrics when the underlying parameter belongs to a collection of H\"{o}lder balls and that moreover achieve our lower bound. We analyse the consequences in terms of asymptotic behaviour of posterior credible balls as well as frequentist minimax adaptive estimation. Our results are appended with an upper bound for the contraction rate under an arbitrary loss in a generic regular experiment. The upper bound is attained for certain sieve priors and enables to extend our results to density estimation.Comment: Published at http://dx.doi.org/10.1214/15-AOS1341 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an intra-day scale. By developing pre-averaging techniques combined with wavelet thresholding, we construct adaptive estimators that achieve a nearly optimal rate within a large scale of smoothness constraints of Besov type. Since the underlying signal (the volatility) is genuinely random, we propose a new criterion to assess the quality of estimation; we retrieve the usual minimax theory when this approach is restricted to deterministic volatility.Adaptive estimation; diffusion processes; high-frequency data; microstructure noise; minimax estimation; semimartingales; wavelets.

Line planning with user-optimal route choice

We consider the problem of designing lines in a public transport system, where we include user-optimal route choice. The model we develop ensures that there is enough capacity present for every passenger to travel on a shortest route. We present two different integer programming formulations for this problem, and discuss exact solution approaches. To solve large-scale line planning instances, we also implemented a genetic solution algorithms. We test our algorithms in computational experiments using randomly generated instances along realistic data, as well as a realistic instance modeling the German long-distance network. We examine the advantages and disadvantages of using such user-optimal solutions, and show that our algorithms sufficiently scale with instance size to be used for practical purposes

Benchmarking de l’agritourisme en Autriche, Allemagne, France et Suisse

Ce travail se focalise sur l’agritourisme en Allemagne, Autriche, France et Suisse. Son objectif est d’analyser la situation de ce secteur puis, d’en extraire les bonnes pratiques, afin d’apporter des recommandations et des pistes d’améliorations pour développer l’agritourisme suisse de manière durable. Elles concernent autant les politiques que l’association nationale ou les exploitants. Pour la rédaction de ce travail, des recherches sur internet ont été nécessaires. Des études et des ouvrages ont été lus afin d’établir un état des lieux de l’agritourisme dans les différents pays. Un benchmarking a été effectué en suivant le processus de Camp afin de comparer la Suisse aux leader européens. De plus, un questionnaire a été rédigé et envoyé à des professionnels du terrain (dans les quatre pays) afin de compléter les informations. Les résultats du benchmarking ont montré qu’en Allemagne, en Autriche et en France le secteur est bien développé et se professionnalise. L’Autriche reste tout de même le leader grâce à l’ancrage de l’agriculture dans le tourisme. Aussi, ce pays compte le pourcentage le plus élevé d’agriculteurs qui pratiquent l’accueil. Les offres sont regroupées sous une même association et il en existe peu d’indépendantes. Malgré la création de la structure Agritourisme Suisse, la Suisse a un réel retard dans ce domaine. Cette association représente un grand pas vers le succès mais il reste encore beaucoup de de mesures et d’efforts à entreprendre. Les agriculteurs doivent encore faire face à de nombreuses contraintes administratives mais surtout législatives sans connaître le réel retour sur leur investissement

Recoverable Robust Timetable Information

Timetable information is the process of determining a suitable travel route for a passenger. Due to delays in the original timetable, in practice it often happens that the travel route cannot be used as originally planned. For a passenger being already en route, it would hence be useful to know about alternatives that ensure that his/her destination can be reached. In this work we propose a recoverable robust approach to timetable information; i.e., we aim at finding travel routes that can easily be updated when delays occur during the journey. We present polynomial-time algorithms for this problem and evaluate the performance of the routes obtained this way on schedule data of the German train network of 2013 and simulated delay scenarios

Considering the shareholder perspective: value-based management systems and stock market performance

We empirically study the use of value-based management systems in listed German firms and examine implications for firms' stock market performance. Using a novel, hand-collected data set covering 1,083 firm years from 2002 to 2008, we find that value-based management systems become increasingly common. Specifically, in 2008 42% of our sample firms have implemented such a system. In the empirical analysis, we find that firms that implement value-based management systems earn statistically significant and economically substantial abnormal stock market returns measured within a two-year adoption phase. These excess returns are not jeopardized by poor post-adoption returns. In the analysis, we carefully control for risk and account for endogeneity concerns. Overall, our findings support the view that shareholders consider the adoption of a value-based management system as a credible signal that management will focus on shareholder interests and that such systems actually increase shareholder value. --value-based management,corporate governance,econometric analysis,Germany