Estimation of error probabilities in stochastic dominance

The process of using data to infer the existence of stochastic dominance is subject to sampling error. Kroll and Levy (1980), among others, have presented simulation results for several normal and lognormal distributions which show high error probabilities for a wide range of parameter values. This paper continues this line of research and uses simulation to estimate error probabilities. Distributions considered are a pair of normals and a pair of lognormals. Analysis of these distributions is made computationally feasible through theoretical results which reduce the number of parameters of the pair of distributions from four to two.     

Simplified Estimating Functions for Diffusion Models with a High-dimensional Parameter

We consider estimating functions for discretely observed diffusion processes of the following type: for one part of the parameter of interest we propose to use a simple and explicit estimating function of the type studied by Kessler (2000); for the remaining part of the parameter we use a martingale estimating function. Such an approach is particularly useful in practical applications when the parameter is high-dimensional. It is also often necessary to supplement a simple estimating function by another type of estimating function because only the part of the parameter on which the invariant measure depends can be estimated by a simple estimating function. Under regularity conditions the resulting estimators are consistent and asymptotically normal. Several examples are considered in order to demonstrate the idea of the estimating procedure. The method is applied to two data sets comprising wind velocities and stock prices. In one example we also propose a general method for constructing diffusion models with a prescribed marginal distribution which have a flexible dependence structure.     

Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

This paper presents an efficient Monte Carlo simulation scheme based on the variance reduction methods to evaluate arithmetic average Asian options in the context of the double Heston's stochastic volatility model with jumps. This paper consists of two essential parts. The first part presents a new flexible stochastic volatility model, namely, the double Heston model with jumps. In the second part, by combining two variance reduction procedures via Monte Carlo simulation, we propose an efficient Monte Carlo simulation scheme for pricing arithmetic average Asian options under the double Heston model with jumps. Numerical results illustrate the efficiency of our method.     

Some results on generalized ageing classes

In this paper we provide new results about generalized ageing classes on the excess lifetime of a renewal process. We also obtain some characterizations of generalized ageing classes by means of the residual life at random time.     

Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

Abstract. We consider a stochastic process driven by diffusions and jumps. Given a discrete record of observations, we devise a technique for identifying the times when jumps larger than a suitably defined threshold occurred. This allows us to determine a consistent non‐parametric estimator of the integrated volatility when the infinite activity jump component is Lévy. Jump size estimation and central limit results are proved in the case of finite activity jumps. Some simulations illustrate the applicability of the methodology in finite samples and its superiority on the multipower variations especially when it is not possible to use high frequency data.     

Asymptotic Analysis of the Sieve Estimator for a Class of Parabolic SPDEs

In this paper we consider the problem of estimating a coefficient of a strongly elliptic partial differential operator in stochastic parabolic equations. The coefficient is a bounded function of time. We compute the maximum likelihood estimate of the function on an approximating space (sieve) using a finite number of the spatial Fourier coefficients of the solution and establish conditions that guarantee consistency and asymptotic normality of the resulting estimate as the number of the coefficients increases. The equation is assumed diagonalizable in the sense that all the operators have a common system of eigenfunctions.     

Effects of the social dominance orientation on environmental attitudes of Chilean university students / Efectos de la orientación a la dominancia social sobre las actitudes ambientales de universitarios chilenos

By adopting a multidimensional approach to environmental attitudes (apathy, anthropocentrism, connectedness and emotional affinity with nature), this study explores the relationships between these dimensions, social dominance orientation (SDO) and political orientation. Two hundred and sixty-two Chilean university students filled out an ad hoc online questionnaire. Two confirmatory factorial analyses showed the four typologies of environmental attitudes and the two factors for SDO, which are labelled group dominance and opposition to equality. Through hierarchical regressions, group dominance showed higher explanatory power of environmental attitudes than political orientation. Furthermore, using the bootstrap procedure we showed that group dominance mediated between political orientation and attitudes of apathy, anthropocentrism and connectedness, while opposition to equality mediated between apathy and emotional affinity. We conclude that SDO is an important variable for measuring political ideology while also providing new nuances when analysing the relationships with environmental attitudes.     

Deficit sustainability,and monetary versus fiscal dominance: The case of Spain, 1850–2000

In this paper, we provide a test of the sustainability of the Spanish government deficit over the period 1850–2000, emphasizing the role played by monetary and fiscal dominance in order to get fiscal solvency. Since the condition of fiscal solvency was satisfied, government deficit would have been sustainable along the sample period. In addition, the whole period can be characterized as one of fiscal dominance.     

Understanding Popularity and Relational Aggression in Adolescence: The Role of Social Dominance Orientation

This study investigated a potential moderator of the association between popularity and relational aggression: social dominance orientation (SDO), the degree to which an individual endorses the importance of social hierarchy. One hundred eighty‐five ninth graders completed a sociometric assessment of RA and popularity, and a self‐report SDO measure. SDO was positively associated with popularity for both boys and girls, and with RA for girls. Popularity and RA were positively correlated for both genders. Regression analyses showed that SDO moderated the association between popularity and RA for girls, but not for boys. Girls who were both popular and who were social dominance‐oriented were particularly high in peer‐nominated RA. SDO may provide a useful framework for understanding the role of popularity in adolescent peer groups.