A necessary condition - the Principle of Fermat-Lagrange - is offered for mixed smooth-convexoptimization problems. This generalizes and unifies most of the known necessary conditions forconcrete finite and infinite dimensional optimization problems of interest. The new idea in comparisonwith...

We consider infinite products of the form ,where {mk} is an arbitrary sequence of trigonometric polynomials of degree at most n with uniformly bounded normssuch that mk(0)=1 for all k. We show that can decrease at infinity not faster than and present conditions underwhich this maximal decay...

Efficient influence functions and efficient score functions are representations of derivatives of maps. The invariance of theformer under changes of parametrization, and the formula relating the efficient influence function for the projection of aparameter to the efficient score function, turn...

In this paper we consider optimization problems defined by a quadraticobjective function and a finite number of quadratic inequality constraints.Given that the objective function is bounded over the feasible set, we presenta comprehensive study of the conditions under which the optimal solution...

In this paper we introduce several classes of generalized convexfunctions already discussed in the literature and show the relationbetween those function classes. Moreover, for some of those functionclasses a Farkas-type theorem is proved. As such this paper unifiesand extends results existing...

We introduce a technique called "precomputation of integrals" that makes it possible to compute conditional expectations in dynamic stochastic models in the initial stage of the solution procedure. This technique can be applied to any set of equations that contains conditional expectations, in...

The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...

This paper uses the invariance principle to solve the incidental parameter problem. We seek group actions that preserve the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the likelihood of the maximal invariant statistic yields...

The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...

The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...