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Several methods are currently available to simulate paths of the Brownian motion. In particular, paths of the BM can be simulated using the properties of the increments of the process like in the Euler scheme, or as the limit of a random walk or via L^2 decomposition like the...
Persistent link: https://www.econbiz.de/10009324416
We consider a multidimensional Ito process Y=(Y_t), t in [0,T], with some unknown drift coefficient process b_t and volatility coefficient sigma(X_t,theta) with covariate process X=(X_t), t in[0,T], the function sigma(x,theta) being known up to theta in Theta. For this model we consider a change...
Persistent link: https://www.econbiz.de/10009324417
In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time. The mesh of observations is not required to shrink to...
Persistent link: https://www.econbiz.de/10009324418
Using an integrated model of purposive R&D activity and human capital accumulation, this paper analyses the joint impact that product market competition may exert on the sectoral distribution of skills and economic growth. In a framework where innovation takes place through an R&D technology...
Persistent link: https://www.econbiz.de/10009324419
Designs are found for discriminating between two non-Normal models in the presence of prior information. The KL-optimality criterion, where the true model is assumed to be completely known, is extended to a criterion where prior distributions of the parameters and a prior probability of each...
Persistent link: https://www.econbiz.de/10009324420
We consider parametric hypotheses testing for multidimensional It\^o processes, possibly with jumps, observed at discrete time. To this aim, we propose the whole class of pseudo $\phi$-divergence test statistics, which include as a special case the well-known likelihood ratio test but also many...
Persistent link: https://www.econbiz.de/10009324421
Multiple Frame Survey has been originally proposed, according to an optimality approach, in order to persecute survey cost savings, especially in the case of a complete list available but expensive to sample. In the modern sampling practice it is frequent the case where a total and up-to-date...
Persistent link: https://www.econbiz.de/10009324422
The telegraph process {X(t), t0}, is supposed to be observed at n+1 equidistant time points t_i=i Delta_n,i=0,1,... , n. The unknown value of lambda, the underlying rate of the Poisson process, is a parameter to be estimated. The asymptotic framework considered is the following: Delta_n - 0, n...
Persistent link: https://www.econbiz.de/10009324423
Gini and concentration indexes are well known useful tools in analysing redistribution and re-ranking effects of taxes with respect to a population of income earners. Aronson, Johnson and Lambert (1994), Urban and Lambert (2008) decompose Gini and re-ranking indices to analyse potential...
Persistent link: https://www.econbiz.de/10009324424
In Chapter 17 of the General Theory (henceforth GT) Keynes tries to generalize the standard GT model, which can be found expounded in the preceding sixteen Chapters of his well-known book, by developing an “extended” model of portfolio choice and capital-asset pricing based on a newly...
Persistent link: https://www.econbiz.de/10009324425