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Concepts and tools for nonlinear time series modelling

Amendola, Alessandra; Christian, Francq - Volkswirtschaftliche Fakultät, … - 2009

Tools and approaches are provided for nonlinear time series modelling in econometrics. A wide range of topics is covered, including probabilistic properties, statistical inference and computational methods. The focus is on the applications but the ideas of the mathematical arguments are also...

Persistent link: https://www.econbiz.de/10005078684

A Theory of Continuum Economies with Independent Shocks and Matchings

Karavaev, Andrei - Volkswirtschaftliche Fakultät, … - 2008

Numerous economic models employ a continuum of negligible agents with a sequence of idiosyncratic shocks and random matchings. Several attempts have been made to build a rigorous mathematical justification for such models, but these attempts have left many questions unanswered. In this paper, we...

Persistent link: https://www.econbiz.de/10005089343

A note on Poincaré recurrence in Anosov diffeomorphic transformation of discretized outline of some plant leaves

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2014

This note provides some examples of plant leaves whose outline maps exhibit Poincaré recurrence and mixing while …

Persistent link: https://www.econbiz.de/10011111374

A Theory of Continuum Economies with Idiosyncratic Shocks and Random Matchings

Karavaev, Andrei - Volkswirtschaftliche Fakultät, … - 2008

Many economic models use a continuum of negligible agents to avoid considering one person's effect on aggregate characteristics of the economy. Along with a continuum of agents, these models often incorporate a sequence of independent shocks and random matchings. Despite frequent use of such...

Persistent link: https://www.econbiz.de/10005790280

Schumpeter´s Gale: Mixing and compartmentalization in Economics and Biology

Friedrich, Thomas; Köpper, Wilhelm - Volkswirtschaftliche Fakultät, … - 2013

mixing yields the highest productivity. Why and when will destruction be creative? We theoretically demonstrate in a simple … enzyme ensemble of source and sink superadditivity and subadditivity by mixing or structured transfer (compartmentalization … an inactive ensemble (no transfer of substrate). Mixing is able to destroy irrational transfers reversing the role of …

Persistent link: https://www.econbiz.de/10011258014

Estimation in semiparametric models with missing data

Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

Persistent link: https://www.econbiz.de/10011109911

Mann-Whitney Test with Adjustments to Pre-treatment Variables for Missing Values and Observational Study

Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2013

The conventional Wilcoxon/Mann-Whitney test can be invalid for comparing treatment effects in the presence of missing values or in observational studies. This is because the missingness of the outcomes or the participation in the treatments may depend on certain pre-treatment variables. We...

Persistent link: https://www.econbiz.de/10011111373

Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions

Chen, Songxi; Peng, Liang; Yu, Cindy - Volkswirtschaftliche Fakultät, … - 2013

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Lévy-driven processes. We propose an empirical likelihood...

Persistent link: https://www.econbiz.de/10011257884