Bayesian inference for stable Lévy–driven stochastic differential equations with high‐frequency data

In this paper, we consider parametric Bayesian inference for stochastic differential equations driven by a pure‐jump stable Lévy process, which is observed at high frequency. In most cases of practical interest, the likelihood function is not available; hence, we use a quasi‐likelihood and place an associated prior on the unknown parameters. It is shown under regularity conditions that there is a Bernstein–von Mises theorem associated to the posterior. We then develop a Markov chain Monte Carlo algorithm for Bayesian inference, and assisted with theoretical results, we show how to scale Metropolis–Hastings proposals when the frequency of the data grows, in order to prevent the acceptance ratio from going to zero in the large data limit. Our algorithm is presented on numerical examples that help verify our theoretical findings.     

Values and happiness among Asian adolescents: a cross-national study

Despite policy efforts to increase adolescent happiness, their impact has been unsatisfactory. Their limited impact may be rooted from a discrepancy between values that adolescents pursued and those that the policies were based on. To provide policy implications, our study aims to identify prevailing values for South Korean, Japanese, and Chinese adolescents and to examine the relationship between the values and self-rated happiness (SRH). A cross-sectional study was conducted using survey data collected on approximately 2000 middle and high school students (7th to 12th school grade) from each country in 2008. Firstly, an explanatory factor analysis was conducted to identify salient adolescent values from each country. Subsequently, a multiple logistic regression analysis was conducted for each population group to examine the relationship between the identified values and adolescent SRH after controlling for sociodemographic characteristics. We found that benevolence and altruism were positively associated with adolescent SRH in all three population groups. Patriarchy was associated with SRH positively in Chinese yet inversely in Japanese. Success pursuit was inversely associated with SRH in Korean. Policy efforts based on values of communities or social harmony may benefit adolescents’ SRH in these three countries.     

Strategy-proof and anonymous rule in queueing problems: a relationship between equity and efficiency

We consider a relationship between equity and efficiency in queueing problems. We show that under strategy-proofness, anonymity in welfare implies queue-efficiency. Furthermore, by combining the result of Kayı and Ramaekers (Games Econ Behav 68:220–232, 2010) with ours, we also give a characterization of the class of rules that satisfy strategy-proofness, anonymity in welfare, and budget-balance.     

Finding environmentally important industry clusters: Multiway cut approach using nonnegative matrix factorization

This paper proposes an optimal combinatorial method for finding groups of industries with relatively large CO₂ emissions through industrial relations. Using an economic input–output table, we estimated a non-symmetric matrix describing how much CO₂ is emitted in producing the commodity of industry i, which was purchased to produce commodity of industry j, to meet the final demand for a specific commodity. A symmetric strength of relations matrix describing the CO₂ emissions associated with the industrial relations was further estimated using the non-symmetric matrix. The strength of relations matrix can be viewed as a representation of the supply-chain network of the final commodity. In this study, we estimated the strength of relations matrix associated with the final demand for automobiles and applied the multiway cut approach using nonnegative matrix factorization to the matrix in order to find environmentally important industry clusters in the Japanese automobile supply chain. According to our empirical results, the optimal number of industry clusters is 19, and 4 industry clusters are playing a key role in CO₂ emission reduction.     

Domain expansion of the pivotal mechanism

We propose a mechanism for the provision of public goods called the extended pivotal mechanism, which works on wider environments than quasi-linear ones. This mechanism is shown to be a natural extension of the pivotal (Clarke) mechanism because the restriction of the mechanism to the quasi-linear domain coincides with the pivotal mechanism, and because it is the only mechanism satisfying strategy-proofness, an efficient condition (partial efficiency), and an equity condition (the welfare lower bound property), which characterize the pivotal mechanism.     

Limited information bayesian analysis of a structural coefficient in a simultaneous equations system

An analytical expression is obtained for the marginal posterior density for a structural coefficient in a simultaneous equations system based on a limited information Bayesian analysis. A con- ditional posterior density is obtained given reduced form para- meters. This conditional posterior density is in univariate student t form. Numerical examples suggest that the conditional density hasa tighter distribution around the posterior mean than the unconditional density when the correlation between the endo- genous variables and the structural error term is high.     

An efficient polynomial space and polynomial delay algorithm for enumeration of maximal motifs in a sequence

In this paper, we consider the problem of enumerating all maximal motifs in an input string for the class of repeated motifs with wild cards. A maximal motif is such a representative motif that is not properly contained in any larger motifs with the same location lists. Although the enumeration problem for maximal motifs with wild cards has been studied in Parida et al. (2001), Pisanti et al. (2003) and Pelfrêne et al. (2003), its output-polynomial time computability has been still open. The main result of this paper is a polynomial space polynomial delay algorithm for the maximal motif enumeration problem for the repeated motifs with wild cards. This algorithm enumerates all maximal motifs in an input string of length n in O(n ³) time per motif with O(n) space, in particular O(n ³) delay. The key of the algorithm is depth-first search on a tree-shaped search route over all maximal motifs based on a technique called prefix-preserving closure extension. We also show an exponential lower bound and a succinctness result on the number of maximal motifs, which indicate the limit of a straightforward approach. The results of the computational experiments show that our algorithm can be applicable to huge string data such as genome data in practice, and does not take large additional computational cost compared to usual frequent motif mining algorithms. This work is done during the Hiroki Arimura’s visit in LIRIS, University Claude-Bernard Lyon 1, France.     

Recurrence formula on the joint distribution of sample skewness and kurtosis under normality

Abstract

Two recurrence relations with respect to sample size are given concerning the joint distribution of skewness and kurtosis of random observations from a normal population: one between the probability density functions and the other between the product moments. As a consequence, the latter yields a recurrence formula for the moments of sample kurtosis. The exact moments of Jarque-Bera statistic is also given.     

Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations

We investigate transition law between consecutive observations of Ornstein–Uhlenbeck processes of infinite variation with tempered stable stationary distribution. Thanks to the Markov autoregressive structure, the transition law can be written in the exact sense as a convolution of three random components; a compound Poisson distribution and two independent tempered stable distributions, one with stability index in (0, 1) and the other with index in (1, 2). We discuss simulation techniques for those three random elements. With the exact transition law and proposed simulation techniques, sample paths simulation proves significantly more efficient, relative to the known approximative technique based on infinite shot noise series representation of tempered stable Lévy processes.     

Bayesian,MLE, and GMM Estimation of a Spot Rate Model

ABSTRACT

We develop Markov chain Monte Carlo algorithms for estimating the parameters of the short-term interest rate model. Using Monte Carlo experiments we compare the Bayes estimators with the maximum likelihood and generalized method of moments estimators. We estimate the model using the Japanese overnight call rate data.