The purpose of this paper is to define the concept of expected minimum cost function and to present the methodology for a non parametric estimation of it. Generally, in cost enonometric analysis, inference is made on the cost function, namely the conditional expectation of cost given some level...

The paper considers parametric and nonparametric estimation of the distribution function F. Issues of particular interest are the identification properties of this model and, in the nonparametric case, the speed of convergence of the estimator F. The latter depends upon the properties of the...

We propose an operational concept of Constrained Strategic Equilibrium (CSE) applicable to a broad class of empirical game theoreticmodels with incomplete information. By restricting the players' strategic sets, we can compute solutions from a strategic form of analyis based upon auxiliary Monte...

The paper presents a study of dependencies between the autocorrelation function and selected nonlinear transformations of time series. We examine parametric transformations and introduce an analysis of nonlinear canonical correlations. We also propose various methods of testing the...

We consider a kernel based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce a test procedure of the reversibility hypothesis. The method is applied to the analysis of stochastic differential equation from high frequency data on stock returns.