Regeneration in random combinatorial structures [PDF]
, 2010 Kingman’s theory of partition structures relates, via a natural sampling procedure, finite partitions to hypothetical infinite populations. Explicit formulas for distributions of such partitions are rare, the most no- table exception being the Ewens ...
Sub Stochastics and Decision Theory begr +2 more
core +1 more source
BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL; THE VARIANCE PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA-GAMMA DISTRIBUTIONS [PDF]
The distribution of the aggregate claim size is the considerable importance in insurance theory since, for example, it is needed as an input in premium calculation principles and reserve calculation which plays an important paper in ruin theory.
E. Gómez-Deniz +2 more
core
Some Links Between Game Theory and Decision Theory in Economics [PDF]
Certain optimal strategies based upon game theory are given in this paper. A decision-making function and a risk function are explained. Decision-making criteria are applied for determining best decision-making functions with respect to a specific ...
Dominika Crnjac, Goran Martinovic
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Minimax and the Value of Information [PDF]
, 2012 In his discussion of minimax decision rules, Savage (1954, p. 170) presents an example purporting to show that minimax applied to negative expected utility (referred to by Savage as 'negative income') is an inadequate decision criterion for statistics ...
Sadler, Evan
core +2 more sources
On rate optimality for ill-posed inverse problems in econometrics [PDF]
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models.
Xiaohong Chen, Markus Reiss
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Stochastic Optimization and Worst-Case Analysis in Monetary Policy Design [PDF]
In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style rules for monetary policy using a small model estimated for the euro area by Orphanides and Wieland (2000).
Berc Rustem +2 more
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An Interior-Point algorithm for Nonlinear Minimax Problems [PDF]
We present a primal-dual interior-point method for constrained nonlinear, discrete minimax problems where the objective functions and constraints are not necessarily convex.
E. Obasanjo, G. Tzallas-Regas, B. Rustem
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Playing strategically against nature? – Decisions viewed from a game-theoretic frame [PDF]
Common research on decision-making investigates non-interdependent situations, i.e., “games against nature”. However, humans are social beings and many decisions are made in social settings, where they mutually influence each other, i.e., “strategic ...
Martin Beckenkamp
core
Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation [PDF]
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 ...
Hoffmann, Marc +2 more
core
Beyond Condorcet: Optimal Aggregation Rules Using Voting Records [PDF]
The difficulty of optimal decision making in uncertain dichotomous choice settings is that it requires information on the expertise of the decision makers (voters).
Moshe Koppel +3 more
core +2 more sources