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Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Spatial autoregressive models ordinary least squares two-stage least squares maximum likelihood finite sample distribution
2015/9/24
The article investigates the finite sample properties of estimators for spatial autoregressive models where the disturbance terms may follow a spatial autoregressive process. In particular we investig...
Asymptotic Properties of Multiperiod Control Rules in the Linear Regression Model
Asymptotic Properties Multiperiod Control Rules
2015/8/5
This is the value of the control rule which would be used if one treated ,d as
known with certainty and equal to the least squares estimate. We call this rule
the least squares certainty equivalence...
Some Experimental Results on the Statistical Properties of Least Squares Estimates in Control Problems
Statistical Properties Control Problems
2015/8/5
The statistical properties of the certainty equivalence control rule and of the least squares
estimates generated by this rule are examined experimentally in a linear model with two
unknown paramete...
Are Dynamic Vickrey Auctions Practical?: Properties of the Combinatorial Clock Auction
Auctions Practical Clock Auction
2015/7/21
The combinatorial clock auction is becoming increasingly popular for large-scale spectrum
awards and other uses, replacing more traditional ascending or clock auctions. We describe
some surprising p...
Influence of moisture content and loading orientation on some mechanical properties of Mucuna flagellipes nut
bioyield compressive tests modulus of elasticity rupture strength properties Nigeria
2014/2/25
The effects of moisture content and loading orientation on some strength properties of Mucuna flagellipes nut namely, bioyield, yield and rupture points; bioyield, compressive and rupture strengths; a...
Path properties and regularity of affine processes on general state spaces
affine processes path properties regularity Markov semimartingales
2011/7/20
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
2011/7/19
Financial markets provide an ideal frame for the study of first-passage time events of non-
Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Rescaled range analysis detrended fluctuation analysis Hurst exponent
2010/12/6
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have bee...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals, Power Law
2010/10/19
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland)...
Statistical properties of agent-based models in markets with continuous double auction mechanism
Statistical properties agent-based models continuous double auction mechanism
2010/10/18
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-base...
Consistency properties of a simulation-based estimator for dynamic processes
Consistency properties simulation-based estimator dynamic processes
2010/10/18
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a ...
Ranking Electoral Systems through Hierarchical Properties Ranking
Electoral systems global ranking hierarchy aggregations
2010/12/6
Electoral systems are characterized by a wide spectrum of properties that cannot be all satisfied at the same time. We aim at examining such properties within a hierarchical framework, based on Analyt...
On Azema-Yor processes, their optimal properties and the Bachelier-Drawdown equation
optimal properties Bachelier-Drawdown equation
2010/10/29
We study the class of Az´ema–Yor processes defined from a general semimartingale with a continuous running supremum process. We show that they arise as unique strong solutions of the Bachelier s...