Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion

Dynamic models of ambiguity aversion are increasingly popular in applied work. This paper shows that there is a strong interdependence in such models between the ambiguity attitude and the preference for the timing of the resolution of uncertainty, as defined by the classic work of Kreps and Porteus (1978). The modeling choices made in the domain of ambiguity aversion influence the set of modeling choices available in the domain of timing attitudes. The main result is that the only model of ambiguity aversion that exhibits indifference to timing is the maxmin expected utility of Gilboa and Schmeidler (1989). This paper examines the structure of the timing nonindifference implied by the other commonly used models of ambiguity aversion. This paper also characterizes the indifference to long‐run risk, a notion introduced by Duffie and Epstein (1992). The interdependence of ambiguity and timing that this paper identifies is of interest both conceptually and practically—especially for economists using these models in applications.     

Axiomatic Foundations of Multiplier Preferences

This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory, in particular, the variational preferences recently introduced by Maccheroni, Marinacci, and Rustichini (2006a). This paper also establishes a link between the parameters of the multiplier criterion and the observable behavior of the agent. This link enables measurement of the parameters on the basis of observable choice data and provides a useful tool for applications.     

Inverse uncertainty quantification of input model parameters for thermal-hydraulics simulations using expectation–maximization under Bayesian framework

Quantification of uncertainties in code responses necessitates knowledge of input model parameter uncertainties. However, nuclear thermal-hydraulics code such as RELAP5 and TRACE do not provide any information on input model parameter uncertainties. Moreover, the input model parameters for physical models in these legacy codes were derived under steady-state flow conditions and hence might not be accurate to use in the analysis of transients without accounting for uncertainties. We present a Bayesian framework to estimate the posterior mode of input model parameters' mean and variance by implementing the iterative expectation–maximization algorithm. For this, we introduce the idea of model parameter multiplier. A log-normal transformation is used to transform the model parameter multiplier to pseudo-parameter. Our analysis is based on two main assumptions on pseudo-parameter. First, a first-order linear relationship is assumed between code responses and pseudo-parameters. Second, the pseudo-parameters are assumed to be normally distributed. The problem is formulated to express the scalar random variable, the difference between experimental result and base (nominal) code-calculated value as a linear combination of pseudo-parameters.     

Refined solution to upper-bound problem for the expectations of order statistics from decreasing density on the average distributions

Rychlik [Metrika 77, 539–557, 2014] described sharp upper negative bounds for the expectations of low-rank order statistics, centered about the population mean and measured in the mean absolute deviation from the mean units, for the i.i.d. sequences with common distribution possessing decreasing density function on the average. The bounds coincide with the negatives of maximal values of complicated functions on the unit interval. Here, we provide more precise solutions to the maximization problems.     

The spatial genetic structure of the yellow-necked mouse in an urban environment – a recent invader vs. a closely related permanent inhabitant

We analyse the genetic variability in the yellow-necked mouse (Apodemus flavicollis) population in the city of Warsaw, Poland, and its surroundings - a species that has begun to occupy the city only in the last 30 years. We also compare the genetic variability of this species with corresponding data collected in the same time and areas for another species - the striped field mouse (Apodemus agrarius). The results indicate a gradual decrease in genetic diversity and increase in relatedness in the population of A. flavicollis from non-urban locations towards sites with the highest anthropopressure. The genetic structure was more pronounced in the 'recent invader' (A. flavicollis) than in the 'permanent inhabitant' (A. agrarius), which has a much longer city colonization history (more than 100 years). In general, FST was higher in A. flavicollis, which may indicate different and independent ways of city colonization by the species. The process by which urban areas are settled by a new, typically forest-dwelling species such as A. flavicollis, more 'sensitive' to the conditions of life in a city, probably includes not only successful events of penetration of the city by small groups of individuals (the founder effect), but also temporary extinctions of local urban populations of A. flavicollis or at least marked fluctuations in species population numbers. Suitably planned areas at the city borders could play an important role as 'gateways' through which individuals from non-urban populations could migrate into the city and join urban populations.     

Multitude of Laplace distributions

Motivated by the recent popularity, we provide a comprehensive review of the known Laplace distributions along with their properties and applications.