Related papers: Monotonicity-Constrained Nonparametric Estimation …
Equilibrium problems in Bayesian auction games can be described as systems of differential equations. Depending on the model assumptions, these equations might be such that we do not have a rigorous mathematical solution theory. The lack of…
Nearest neighbor imputation is popular for handling item nonresponse in survey sampling. In this article, we study the asymptotic properties of the nearest neighbor imputation estimator for general population parameters, including…
The problem of nonparametric inference on a monotone function has been extensively studied in many particular cases. Estimators considered have often been of so-called Grenander type, being representable as the left derivative of the…
Along with substantial progress made recently in designing near-optimal mechanisms for multi-item auctions, interesting structural questions have also been raised and studied. In particular, is it true that the seller can always extract…
This paper extends the incomplete model of Haile and Tamer (2003) from static English auctions to sequential English auctions. Because bidders may wait for future opportunities, the static condition that bidders do not let rivals win at…
We study revenue variance in the sale of $k$ homogeneous items to risk-neutral, unit-demand bidders with independent private values. Although the Revenue Equivalence Theorem implies that standard auctions generate the same expected revenue,…
We propose novel parameter estimation algorithms for a class of dynamical systems with nonlinear parametrization. The class is initially restricted to smooth monotonic functions with respect to a linear functional of the parameters. We show…
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices…
We propose a new \textit{quadratic programming-based} method of approximating a nonstandard density using a multivariate Gaussian density. Such nonstandard densities usually arise while developing posterior samplers for unobserved…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
We consider parameter inference for linear quantile regression with non-stationary predictors and errors, where the regression parameters are subject to inequality constraints. We show that the constrained quantile coefficient estimators…
We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…
In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…
Mature internet advertising platforms offer high-level campaign management tools to help advertisers run their campaigns, often abstracting away the intricacies of how each ad is placed and focusing on aggregate metrics of interest to…
In this work, we study spectrum auction problem where each request from secondary users has spatial, temporal, and spectral features. With the requests of secondary users and the reserve price of the primary user, our goal is to design…
This paper proves the tight sample complexity of {\sf Second-Price Auction with Anonymous Reserve}, up to a logarithmic factor, for each of all the value distribution families studied in the literature: $[0,\, 1]$-bounded, $[1,\,…
Conditional estimation given specific covariate values (i.e., local conditional estimation or functional estimation) is ubiquitously useful with applications in engineering, social and natural sciences. Existing data-driven non-parametric…
We introduce a notion of substitutability for correspondences and establish a monotone comparative static result, unifying results such as the inverse isotonicity of M-matrices, Berry, Gandhi and Haile's identification of demand systems,…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
While auction theory views bids and valuations as continuous variables, real-world auctions are necessarily discrete. In this paper, we use a combination of analytical and computational methods to investigate whether incorporating…