A simulation method based on importance sampling, Gibbs and Metropolis-Hastings techniques allows to approximate the ratio between the likelihhod function computed for two different parameter values. Thus it is possible to approximate the maximum likelihood estimator in the general framework of...

We study the estimation of the marginal probability density function of an observable process associated to a weak bernoulli deterministic dynamical system. We use the Parzen-Rosenblatt naive kernel estimator and state conditions under which it is consistent in quadratic mean. We then discuss...

The Envelope Theorem is shown to involve comparaisons between the performance of the optimal policy and that of alternative policies, which satisfy the constraints of the problem and may also have other features.

The paper considers Caratheodory's Theorem on the properties of the Inverse of the Bordered Hessian of an Optimization Problem. After a new proof of the complete theorem, using matrix theory methods, the paper considers the sensitivity of the optimal solution in parameters appearing either in...

The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form....

This paper is a user' guide to a set of Guss procedures developed at the Bank of Canada for estimating regime-switching models. The procedure can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researchers. Sample program listings are...

Heterogeneous agents' model with the stochastic beliefs formation is considered. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. Chartists determine whether current conditions call for the acquisition of fundamental information in a...

The impact of different financing alternatives on dynamic model of the university system is analysed in this paper. Model is agent – based, the reason is that we analyze a system of heterogenous universities instead of a representative university. Heterogeneity of universities is not in...

We present a general framework for understanding the transition from local regular to global irregular (chaotic) bahaviour of nonlinear dynamical models in discrete time. The fundamental mechanism is the unfolding of quadratic tangencies between the stable and the unstable manifolds of periodic...

The purpose of this paper is to study optimality of circular neighbour-balanced block designs when neighbour effects are present in the model. Universal optimality of these designs is shown for treatment and neighbour effects over a large class of competing designs. We bring special attention to...