Related papers: On Vickrey's Income Averaging
In this paper, we introduce weighted fractional generalized cumulative past entropy of a nonnegative absolutely continuous random variable with bounded support. Various properties of the proposed weighted fractional measure are studied.…
The aim of the paper is to establish a convergence theorem for multi-dimensional stochastic approximation when the "innovations" satisfy some "light" averaging properties in the presence of a pathwise Lyapunov function. These averaging…
This paper proposes a statistical mechanics approach to the analysis of income distribution and inequality. A new distribution function, having its roots in the framework of k-generalized statistics, is derived that is particularly suitable…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
A Bayesian network is a widely used probabilistic graphical model with applications in knowledge discovery and prediction. Learning a Bayesian network (BN) from data can be cast as an optimization problem using the well-known…
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…
We consider a recursive algorithm to construct an aggregated estimator from a finite number of base decision rules in the classification problem. The estimator approximately minimizes a convex risk functional under the l1-constraint. It is…
We consider the median of n independent Brownian motions, and show that this process, when properly scaled, converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct…
The averaging method provides a powerful tool for studying evolution in near-integrable systems. Existence of separatrices in the phase space of the underlying integrable system is an obstacle for application of standard results that…
In this article, variational state estimation is examined from the dynamic programming perspective. This leads to two different value functional recursions depending on whether backward or forward dynamic programming is employed. The result…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
Consider estimation of the regression function based on a model with equidistant design and measurement errors generated from a fractional Gaussian noise process. In previous literature, this model has been heuristically linked to an…
This paper investigates the large sample properties of local regression distribution estimators, which include a class of boundary adaptive density estimators as a prime example. First, we establish a pointwise Gaussian large sample…
The distribution of household income is a central concern of modern economic policy due to its strong influence on life quality. Yet, non-expert audiences are unaware of the relationship between these two factors. To effectively communicate…
Income inequality and redistribution policies are modeled with a minimal, endogenous model of a simple foraging economy. Significant income inequalities emerge from the model for populations of equally capable individuals presented with…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volatility model and in a displaced diffusion model with…
In a recent paper in this journal [J. Stat. Mech. (2009) P02037] we proposed a new, physically motivated, distribution function for modeling individual incomes having its roots in the framework of the k-generalized statistical mechanics.…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…