Related papers: On Vickrey's Income Averaging
Income inequality estimators are biased in small samples, leading generally to an underestimation. This aspect deserves particular attention when estimating inequality in small domains and performing small area estimation at the area level.…
Stacking is a widely used model averaging technique that asymptotically yields optimal predictions among linear averages. We show that stacking is most effective when model predictive performance is heterogeneous in inputs, and we can…
Given a finite collection of estimators or classifiers, we study the problem of model selection type aggregation, that is, we construct a new estimator or classifier, called aggregate, which is nearly as good as the best among them with…
The functional autoregressive model is a Markov model taylored for data of functional nature. It revealed fruitful when attempting to model samples of dependent random curves and has been widely studied along the past few years. This…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an…
Income segregation measures the extent to which households choose to live near other households with similar incomes. Sociologists theorize that income segregation can exacerbate the impacts of income inequality, and have developed indices…
We discuss the distribution of commuting distances and its relation to income. Using data from Denmark, the UK, and the US, we show that the commuting distance is (i) broadly distributed with a slow decaying tail that can be fitted by a…
The weighted average of inconsistent data is a common and tedious problem that many scientists have encountered. The standard weighted average is not recommended for these cases, and various alternative methods have been proposed. These…
The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…
Model averaging is an important alternative to model selection with attractive prediction accuracy. However, its application to high-dimensional data remains under-explored. We propose a high-dimensional model averaging method via…
Mounting evidences are being gathered suggesting that income and wealth distribution in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium, but also deviating…
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable exceptions, all integrated variance estimators proposed in the…
Consider $n$ i.i.d. random elements on $C[0,1]$. We show that, under an appropriate strengthening of the domain of attraction condition, natural estimators of the extreme-value index, which is now a continuous function, and the normalizing…
We consider a situation where the distribution of a random variable is being estimated by the empirical distribution of noisy measurements of that variable. This is common practice in, for example, teacher value-added models and other…
We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…
Neural networks are popular state-of-the-art models for many different tasks.They are often trained via back-propagation to find a value of the weights that correctly predicts the observed data. Although back-propagation has shown good…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…
We consider a last-passage directed percolation model in $Z_+^2$, with i.i.d. weights whose common distribution has a finite $(2+p)$th moment. We study the fluctuations of the passage time from the origin to the point $\big(n,n^{\lfloor a…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…