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...

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...

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...

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...

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...

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...

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...

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...

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...

Usually, in the Theory of Optimal Experimental Design the model is assumed to be known at the design stage. In practice, however, more competing models may be plausible for the same data. Thus, a possibility is to find an optimal design which take both model discrimination and parameter...