Threshold Estimation for Stochastic Processes with Small Noise

Consider a process satisfying a stochastic differential equation with unknown drift parameter, and suppose that discrete observations are given. It is known that a simple least squares estimator (LSE) can be consistent but numerically unstable in the sense of large standard deviations under finite samples when the noise process has jumps. We propose a filter to cut large shocks from data and construct the same LSE from data selected by the filter. The proposed estimator can be asymptotically equivalent to the usual LSE, whose asymptotic distribution strongly depends on the noise process. However, in numerical study, it looked asymptotically normal in an example where filter was chosen suitably, and the noise was a Lévy process. We will try to justify this phenomenon mathematically, under certain restricted assumptions.     

Some alternative bivariate Kumaraswamy models

In this article we discuss various strategies for constructing bivariate Kumaraswamy distributions. As alternatives to the Nadarajah et al. (2011) bivariate model, four different models are introduced utilizing a conditional specification approach, a conditional survival function approach, and an Arnold–Ng bivariate beta distribution construction approach. Distributional properties for such bivariate distributions are investigated. Parameter estimation strategies for the models are discussed, as are the consequences of fitting two of the models to a particular data set involving the proportion of foggy days at two different airports in Colombia.     

Rank and response: A field experiment on peer information and water use behavior

Perception of peer rank, or how we perform relative to our peers, can be a powerful motivator. While research exists on the effect of social information on decision making, there is less work on how ranked comparisons with our peers influence our behavior. This paper outlines a field experiment conducted with 3896 households in Castro Valley, California, which uses household mailers with various forms of social information and peer rank messaging to motivate water conservation. The experiment tests the effect of a visible peer rank on water use, and how the competitive framing of rank information influences behavioral response. The results show that households with relatively low or high water use in the pre-treatment period responded differently to how rank information was framed. I find that a neutrally-framed peer rank caused a small “boomerang effect” (i.e., an increase in average water use) for low water use households, but this effect was eliminated by competitive framing. At the same time, a competitively-framed peer rank demotivated high water use households, increasing their average water use over the full period of the experiment. This result is supported by evidence that the competitive frame on rank information increased water use for households who ranked “last” in the peer group – a detrimental “last place effect” from competitively-framed rankings.     

Rent-seeking and competitive preferences

In this experiment, I examine the extent to which competitive social preferences can explain over-bidding in rent-seeking contests. The Human treatment is a standard two-player contest. In the Robot treatment, a single player bids against a computerized player, eliminating potential social preference motives. The results show no difference in bids between treatments at the aggregate level. Further analysis shows evidence of heterogeneous treatment effects between impulsive and reflective subjects. Moreover, impulsive subjects are more likely than reflective subjects to deviate qualitatively from the shape of the theoretical best response function.     

复合期权在R＆D项目投资评价中的应用

如何评价R&D项目投资已成为目前理论界关注的一个热点。对R&D项目投资的基本评价方法———贴现现金流法 (DCF)已越来越不能适应R&D项目管理的复杂性和不确定性 ,而实物期权方法以其能够灵活评价不确定性条件下的投资项目未来的增长机会的特点 ,受到越来越多的关注。借鉴了Geske提出的复合期权模型 ,将R&D项目看作一个复合期权 ,建立了R&D项目的投资评价模型     

简析《德伯家的苔丝》的悲剧性及其成因

哈代在《德伯家的苔丝》中成功地塑造了女主公苔丝的形象,其文中所描写的苔丝出外谋生和一失足千古恨的悲剧,具有巨大的悲剧研究的社会价值。通过从社会和个人性格两个不同的方面分析了苔丝悲剧产生的原因,使读者在理性地欣赏其作品的同时,更深刻地感受到作品所营造的悲剧效果和艺术感染力。     

缓和与1973年中东战争的爆发

缓和是冷战时期的特定阶段,美苏对缓和的认知影响了双方在中东地区的政策及解决中东危机的进程。1973年中东战争的爆发,既与美苏对缓和的认知与推动有关,也离不开埃及对缓和的追求。美苏缓和虽缓解了彼此间的紧张关系,但由于美苏对缓和的追求漠视了埃及的缓和努力与阿拉伯国家对被占领土的诉求,这成为促发战争爆发的外源性因素。美苏缓和对阿以僵局的维持,埃及缓和外交的失败与以色列的强硬立场,使萨达特放弃了外交努力而发动了斋月战争。     

垂直性研究与开发合作联盟的博弈模型新探

修改了Banerjee和Lin (2 0 0 1)提出的博弈模型 ,在考虑了组成研究与开发 (R&D)成本因素的条件下 ,重新考察了产业内形成垂直的R&D合作联盟的动机 ,得出上游 (或下游 )企业的利润与下游企业的数目之间并不存在特定的关系 ,根据CassimanBrano (2 0 0 0 )的研究结论 ,认为应该对产业中的基础研究工作给予R&D补贴