A dynamic version of Data Envelopment Analysis (DEA) is developed in the present paper. Our model introduces investment in traditional DEA and imposes intertemporal cost minimization. Adding an intertemporal adjustment constraint into the cost minimization problem, we derive the relation between...

We introduce the idea that resampling from past observations in a Markov Chain Monte Carlo sampler can fasten convergence. We prove that proper resampling from the past does not disturb the limit distribution of the algorithm. We illustrate the method with two examples. The first on a Bayesian...

In this paper we study high moment partial sum processes based on residuals of a stationary ARMA model with or without a unknown mean parameter. We show that they can be approximated in probability by the analogous processes which are obtained from the independent and identically distributed...

The Agricultural Development Bank of China (ADBC) seeks a complete economic evaluation of the Loaning Funds Program to support private agricultural product processing factories. This paper aims at economically evaluate one loaning project of ADBC : the soybean processing of Huabao Industrial Co....

We study a long-range dependence Gaussian process which we call “sub-fractional Brownian motion” (sub-fBm), because it is intermediate between Brownian motion (Bm) and fractional Brownian motion (fBm) in the sense that it has properties analogous to those of fBm, but the increments on...

In this paper we generalize Yu’s strong invariance principle for associated sequences to the multi-parameter case, under the assumption that the covariance coefficient u(n) decays exponentially as n - (infinity symbol). The main tools will be the Berkes-Morrow multi-parameter blocking...

This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four...

We establish a mathematical framework that formally validates the two-phase “superpopulation viewpoint” proposed by Hartley and Sielken (1975), by defining a product probability space which includes both the design space and the model space. We develop a general methodology that combines...

Dans cet essai, nous présentons deux nouveaux estimateurs qui ont la propriété d’être convergents en présence d’erreurs de mesure sur les variables. Ces estimateurs sont basés sur les cumulants d’ordre deux et trois de la matrice des variables explicatives. Nous présentons...