Shrinkage and variable selection by polytopes

Constrained estimators that enforce variable selection and grouping of highly correlated data have been shown to be successful in finding sparse representations and obtaining good performance in prediction. We consider polytopes as a general class of compact and convex constraint regions. Well-established procedures like LASSO (Tibshirani, 1996) or OSCAR (Bondell and Reich, 2008) are shown to be based on specific subclasses of polytopes. The general framework of polytopes can be used to investigate the geometric structure that underlies these procedures. Moreover, we propose a specifically designed class of polytopes that enforces variable selection and grouping. Simulation studies and an application illustrate the usefulness of the proposed method.     

Transparency in Buyer‐Determined Auctions: Should Quality be Private or Public?

We study buyer‐determined procurement auctions where both price and non‐price characteristics of bidders matter for being awarded a contract. Although, in scoring auctions bidders perfectly know how price and non‐price attributes determine the awarding of the contract, this remains uncertain in buyer‐determined auctions where the buyer is free to choose once all bids have been submitted. We analyze the impact of information bidders have with respect to the buyer's awarding decision. As we show theoretically whether it is in the buyer's interest to conceal the impact of non‐price characteristics depends on how important the quality aspects of the procured good are to the buyer: The more important quality aspects are, the more interesting concealment becomes. In a counterfactual analysis using data from a large European procurement platform, we analyze the reduction of non‐price information available to the bidders. Confirming our hypothesis, for auction categories where bidders’ non‐price characteristics strongly influence buyers’ decisions concealment of non‐price information leads to an increase in buyers’ surplus of up to 15% due to higher competitive pressure and lower bids. Conversely, for categories where bidders’ non‐price characteristics are of little importance concealment of non‐price information leads to a decrease in buyers’ surplus of up to 6%.     

An endemic–epidemic beta model for time series of infectious disease proportions

Time series of proportions of infected patients or positive specimens are frequently encountered in disease control and prevention. Since proportions are bounded and often asymmetrically distributed, conventional Gaussian time series models only apply to suitably transformed proportions. Here we borrow both from beta regression and from the well-established HHH model for infectious disease counts to propose an endemic–epidemic beta model for proportion time series. It accommodates the asymmetric shape and heteroskedasticity of proportion distributions and is consistent for complementary proportions. Coefficients can be interpreted in terms of odds ratios. A multivariate formulation with spatial power-law weights enables the joint estimation of model parameters from multiple regions. In our application to a flu activity index in the USA, we find that the endemic–epidemic beta model provides a better fit than a seasonal ARIMA model for the logit-transformed proportions. Furthermore, a multivariate approach can improve regional forecasts and reduce model complexity in comparison to univariate beta models stratified by region.     

Pricing of Full‐Service Repair Contracts with Learning,Optimized Maintenance,and Information Asymmetry

This article considers the optimal pricing of full‐service (FS) repair contracts by taking into account learning and maintenance efficiency effects, competition from service , and asymmetric information. We analyze on‐call service (OS) and FS contracts in a market where customers exhibit heterogeneous risk aversion. While the customers minimize their disutility over the equipment lifetime, the service provider maximizes expected profits arising from the portfolio of OS and FS contracts. We show that the optimal FS price depends inter alia on the customer's prior cost experience and on OS repair and maintenance costs. The optimal FS price is shown to increase as fewer OS customers are lost to competition, whereas improved repair learning enabled by FS reduces the optimal price. A numerical study based on data from a manufacturer of forklifts highlights the importance of learning in maintenance operations, which constitutes the key benefit of FS contracts; 81% of the customers select the FS option and are willing to pay an insurance premium of around 1.5% of total OS cost against volatility of repair costs.     

Intraday pricing of ETFs and certificates replicating the German DAX index

The market for the leading German equity index DAX comprises electronically traded futures contracts, fully replicated and swap-based exchange-traded funds (ETFs), and certificates. This paper reveals that DAX futures contracts contribute an economically and statistically significant proportion to contemporaneous price quotes of ETFs and certificates. This finding is surprising because the prospectus of ETFs and certificates claim to follow the stock index solely, but not the index futures contract. Exploring further the short-run dynamics, our results suggest that fully replicated ETFs cope better with adjusting their prices to the DAX index than swap-based ETFs and certificates.     

Blocking in Healthcare Operations: A New Heuristic and an Application

We consider the problem of optimal capacity allocation in a hospital setting, where patients pass through a set of units, for example intensive care and acute care (AC), or AC and post‐acute care. If the second stage is full, a patient whose service at the first stage is complete is blocked and cannot leave the first stage. We develop a new heuristic for tandem systems to efficiently evaluate the effects of such blocking on system performance and we demonstrate that this heuristic performs well when compared with exact solutions and other approaches presented in the literature. In addition, we show how our tandem heuristic can be used as a building block to model more complex multi‐stage hospital systems with arbitrary patient routing, and we derive insights and actionable capacity strategies for a real hospital system where such blocking occurs between units.     

Freedom of choice in a social context: comparing game forms

In this paper, the set of outcomes of game forms is introduced as the relevant attribute for evaluating freedom of choice. These sets are defined as the cartesian product of every individual’s set of available options. It is argued that doing so is one way of taking into account social interactions when evaluating individual freedom. A set of axioms is introduced, each of which conveys some intuitions about how interactions affect freedom of choice, axioms by the mean of which two criteria, the Max and the MaxMin, are characterised for comparing game forms in terms of the freedom of choice they offer. These criteria are based, respectively, on the comparison of the best and the worst outcome the individual can reach in the game form.     

Regional Mortality Disparities in Germany

While regional mortality inequalities in Germany tend to be relatively stable in the short run, over the course of the past century marked changes have occurred in the country’s regional mortality patterns. These changes include not only the re-emergence of stark differences between eastern and western Germany after 1970, which have almost disappeared again in the decades after the reunification of Germany in 1990; but also substantial changes in the disparities between northern and southern Germany. At the beginning of the twentieth century, the northern regions in Germany had the highest life expectancy levels, while the southern regions had the lowest. Today, this mortality pattern is reversed. In this paper, we study these long-term trends in spatial mortality disparities in Germany since 1910, and link them with theoretical considerations and existing research on the possible determinants of these patterns. Our findings support the view that the factors which contributed to shape spatial mortality variation have changed substantially over time, and suggest that the link between regional socioeconomic conditions and recorded mortality levels strengthened over the last 100 years.     

Des indicateurs «SMART» pour mesurer le travail décent: proposition dans la perspective du programme de développement pour l'après‐2015

Les indicateurs associés aux objectifs du Millénaire pour le développement présentent plusieurs lacunes: des problèmes de mesure et d'interprétation, l'utilisation de données agrégées et des hypothèses inadaptées aux pays en développement. Les auteurs proposent par conséquent quatre nouveaux indicateurs de l'emploi productif et du travail décent: l'augmentation de la part du travail dans la valeur ajoutée par těte, le taux de travailleurs pauvres et la proportion de travailleurs qui perçoivent un revenu inférieur à un minimum donné, fixé en valeur absolue d'abord puis à 60 pour cent du revenu du travail médian. Deux cas d'espèce – Ouganda et Pérou – illustrent l'application pratique de ces indicateurs.