847 research outputs found
Lambert W random variables - a new family of generalized skewed distributions with applications to risk estimation
Originating from a system theory and an input/output point of view, I
introduce a new class of generalized distributions. A parametric nonlinear
transformation converts a random variable into a so-called Lambert
random variable , which allows a very flexible approach to model skewed
data. Its shape depends on the shape of and a skewness parameter .
In particular, for symmetric and nonzero the output is skewed.
Its distribution and density function are particular variants of their input
counterparts. Maximum likelihood and method of moments estimators are
presented, and simulations show that in the symmetric case additional
estimation of does not affect the quality of other parameter
estimates. Applications in finance and biomedicine show the relevance of this
class of distributions, which is particularly useful for slightly skewed data.
A practical by-result of the Lambert framework: data can be "unskewed." The
package http://cran.r-project.org/web/packages/LambertWLambertW developed
by the author is publicly available (http://cran.r-project.orgCRAN).Comment: Published in at http://dx.doi.org/10.1214/11-AOAS457 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Forecastable Component Analysis (ForeCA)
I introduce Forecastable Component Analysis (ForeCA), a novel dimension
reduction technique for temporally dependent signals. Based on a new
forecastability measure, ForeCA finds an optimal transformation to separate a
multivariate time series into a forecastable and an orthogonal white noise
space. I present a converging algorithm with a fast eigenvector solution.
Applications to financial and macro-economic time series show that ForeCA can
successfully discover informative structure, which can be used for forecasting
as well as classification. The R package ForeCA
(http://cran.r-project.org/web/packages/ForeCA/index.html) accompanies this
work and is publicly available on CRAN.Comment: 10 pages, 4 figures; ICML 201
On the Prevalence of Framing Effects Across Subject-Pools in a Two- Person Cooperation Game
In this experimental study, involving subjects from Abu-Dis (West Bank), Chengdu (China), Helsinki (Finland), and Jerusalem (Israel), we test for a presentation bias in a two-person cooperation game. In the positive frame of the game, a transfer creates a positive externality for the opposite player, and in the negative frame, a negative one. Subjects in Abu-Dis and Chengdu show a substantially higher cooperation level in the positive externality treatment. In Helsinki and Jerusalem, no framing effect is observed. These findings are also reflected in associated first-order beliefs. We argue that comparisons across subject-pools might lead to only partially meaningful and opposed conclusions if only one treatment condition is evaluated. We therefore suggest a complementary application and consideration of different presentations of identical decision problems within (cross-cultural) research on subject-pool differences.framing of decision problems, methodology, subject-pool differences
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