This paper proposes alternative methods for constructing estimators from accept-reject samples by incorporating the variables rejected by the algorithm.

This paper puts forth a concept of Adptivety Rational Equilibrium (A.R.E) where agents base decisions upon predictions of future values of endogenous variables whose actual values are determined by equilibrium equations.

The estimation of quadratic functions of a multivariate normal mean is an inferential problem which, while being simple to state and often encountered in practice, leads to surprising complications both from frequentist and Bayesian points of view. The drawbacks of Bayesian inference using the...

Given a number of record values from independent and identically distributed random variables with a continuous distribution function F, our aim is to estimate future record values under some assumptions on the tail of F. In this paper, we are concerned primarly with finding reasonable...

In this paper we analyse the problem of the modelling of individual transitions in presence of an incomplete sampling scheme.

The simulation result of Nunes, Kuan, and Newbold suggests that it is possible to estimate a spurious break for a regression model with I(1) disturbances. In this note, we provide a rigorous proof for this phenomenon.

In this paper, we derive a general Hajek-Renyi type inequality for vector-valued martingales. Several well known inequalities are shown to be special cases of this general inequality. We also derive a similar inequality for dependent sequences. We then apply the inequality to the problem of...