(Sub) Optimality and (non) optimal satisficing in risky decision experiments

We implement a risky choice experiment based on one-dimensional choice variables and risk neutrality induced via binary lottery incentives. Each participant confronts many parameter constellations with varying optimal payoffs. We assess (sub)optimality, as well as (non)optimal satisficing by eliciting aspirations in addition to choices. Treatments differ in the probability that a binary random event, which are payoff—but not optimal choice—relevant is experimentally induced and whether participants choose portfolios directly or via satisficing, i.e., by forming aspirations and checking for satisficing before making their choice. By incentivizing aspiration formation, we can test satisficing, and in cases of satisficing, determine whether it is optimal.     

Meaningful learning in weighted voting games: an experiment

In April 2013, all of the major academic publishing houses moved thousands of journal titles to an original hybrid model, under which authors of accepted papers can choose between an expensive open access (OA) track and the traditional track available only to subscribers. This paper argues that authors might now use a publication strategy as a quality signaling device. The imperfect information game between authors and readers presents several types of Perfect Bayesian Equilibria, including a separating equilibrium in which only authors of high-quality papers are driven toward the open access track. The publishing house should choose an open-access publication fee that supports the emergence of the highest return equilibrium. Journal structures will evolve over time according to the journals’ accessibility and quality profiles.     

A note on mixingale limit theorems and stable convergence in law

A gap in the proof of a non stationary mixingale invariance principle is identified and fixed by introducing a skipped subsampling of a partial sum process and letting the skipped interval vanish asymptotically at an appropriate rate as the sample size increases. The corrected proof produces a mixingale limit theorem in the form of a mixing convergence in law, occurring jointly with the stable convergence in law for the same σ-field relative to which they are stable and mixing. The applicability of established results to a high-frequency estimation of the quadratic variation of financial price process is discussed.     

Parallel and interacting stochastic approximation annealing algorithms for global optimisation

We present the parallel and interacting stochastic approximation annealing (PISAA) algorithm, a stochastic simulation procedure for global optimisation, that extends and improves the stochastic approximation annealing (SAA) by using population Monte Carlo ideas. The efficiency of standard SAA algorithm crucially depends on its self-adjusting mechanism which presents stability issues in high dimensional or rugged optimisation problems. The proposed algorithm involves simulating a population of SAA chains that interact each other in a manner that significantly improves the stability of the self-adjusting mechanism and the search for the global optimum in the sampling space, as well as it inherits SAA desired convergence properties when a square-root cooling schedule is used. It can be implemented in parallel computing environments in order to mitigate the computational overhead. As a result, PISAA can address complex optimisation problems that it would be difficult for SAA to satisfactory address. We demonstrate the good performance of the proposed algorithm on challenging applications including Bayesian network learning and protein folding. Our numerical comparisons suggest that PISAA outperforms the simulated annealing, stochastic approximation annealing, and annealing evolutionary stochastic approximation Monte Carlo.     

<Emphasis Type="BoldItalic">MAD-STEC</Emphasis>: a method for multiple automatic detection of space-time emerging clusters

Crime or disease surveillance commonly rely in space-time clustering methods to identify emerging patterns. The goal is to detect spatial-temporal clusters as soon as possible after its occurrence and to control the rate of false alarms. With this in mind, a spatio-temporal multiple cluster detection method was developed as an extension of a previous proposal based on a spatial version of the Shiryaev–Roberts statistic. Besides the capability of multiple cluster detection, the method have less input parameter than the previous proposal making its use more intuitive to practitioners. To evaluate the new methodology a simulation study is performed in several scenarios and enlighten many advantages of the proposed method. Finally, we present a case study to a crime data-set in Belo Horizonte, Brazil.     

An adaptive-to-model test for partially parametric single-index models

Residual marked empirical process-based tests are commonly used in regression models. However, they suffer from data sparseness in high-dimensional space when there are many covariates. This paper has three purposes. First, we suggest a partial dimension reduction adaptive-to-model testing procedure that can be omnibus against general global alternative models although it fully use the dimension reduction structure under the null hypothesis. This feature is because that the procedure can automatically adapt to the null and alternative models, and thus greatly overcomes the dimensionality problem. Second, to achieve the above goal, we propose a ridge-type eigenvalue ratio estimate to automatically determine the number of linear combinations of the covariates under the null and alternative hypotheses. Third, a Monte-Carlo approximation to the sampling null distribution is suggested. Unlike existing bootstrap approximation methods, this gives an approximation as close to the sampling null distribution as possible by fully utilising the dimension reduction model structure under the null model. Simulation studies and real data analysis are then conducted to illustrate the performance of the new test and compare it with existing tests.     

Improved multivariate prediction regions for Markov process models

This paper concerns the specification of multivariate prediction regions which may be useful in time series applications whenever we aim at considering not just one single forecast but a group of consecutive forecasts. We review a general result on improved multivariate prediction and we use it in order to calculate conditional prediction intervals for Markov process models so that the associated coverage probability turns out to be close to the target value. This improved solution is asymptotically superior to the estimative one, which is simpler but it may lead to unreliable predictive conclusions. An application to general autoregressive models is presented, focusing in particular on AR and ARCH models.     

On the $$L_p$$ norms of kernel regression estimators for incomplete data with applications to classification

We consider kernel methods to construct nonparametric estimators of a regression function based on incomplete data. To tackle the presence of incomplete covariates, we employ Horvitz–Thompson-type inverse weighting techniques, where the weights are the selection probabilities. The unknown selection probabilities are themselves estimated using (1) kernel regression, when the functional form of these probabilities are completely unknown, and (2) the least-squares method, when the selection probabilities belong to a known class of candidate functions. To assess the overall performance of the proposed estimators, we establish exponential upper bounds on the \(L_p\) norms, \(1\le p<\infty \), of our estimators; these bounds immediately yield various strong convergence results. We also apply our results to deal with the important problem of statistical classification with partially observed covariates.