This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting, even with rich dynamics. We call them rotated ARCH (RARCH) models. The basic structure is to rotate the returns and then to fit them using a BEKK-type parameterization of the...

The need to justify one's decisions is a signal characteristic of decision making in a managerial environment. Even chief executives must communicate reasons for their actions. Yet, despite a significant amount of laboratory research on the effects of accountability on decision making, few...

Researchers often test consumers' abilities to discriminate between two product formulations. Such tests are used in new product development, quality control, and competitive assessment. This paper investigates three paired comparison taste tests, each requiring a different judgment. These are:...

Patterns of customer purchases are often modeled as discrete behavioral events following some probability law. These stochastic models have been applied separately to the phenomena of product class purchase incidence and brand choice (conditional on the products being purchased). Most of these...

Whittemore (1989) in an interesting paper considered estimation of regression coefficients in measurement error models. She had the very interesting result which showed how to overcome the inconsistency of the usual least squares estimator of the regression coefficient in a measurement error...

In this paper we study a monotone regularized kernel general empirical Bayes method for the estimation of a vector of normal means. This estimator is used to improve upon the kernel methods of Zhang (1997) [12] and Brown and Greenshtein (2009) [5]. We prove an oracle inequality for the regret of...

Describes two applications of a method for reweighting a survey or administrative records database to borrow strength and improve the precision of state estimates. The first is estimating the numbers and characteristics of children without health insurance. The second is microsimulation of...

Estimates the need for food stamps and the Food Stamp Program's effectiveness from 1994 to 1999 in each state.

Estimation of normal mean vector has broad applications such as small area estimation, estimation of nonparametric functions and estimation of wavelet coefficients. In this paper, we propose a new shrinkage estimator based on conditional maximum likelihood estimator incorporating with Stein’s...

In this paper, we describe and study a class of linear shrinkage estimators of the covariance matrix that is well-suited for high dimensional matrices, has a rather wide domain of applicability, and is rooted into the Gaussian conjugate framework of Chen (1979). We propose here a new look at...