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 “star effect” 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