Related papers: Monotone additive statistics
In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…
We study the interaction between strategy, heterogeneity and growth in a two-agent model of capital accumulation. Preferences are represented by recursive utility functions with decreasing marginal impatience. The stationary equilibria of…
We provide an axiomatic characterization of lexicographic preferences over the set of all random availability functions using two assumptions. The first assumption is strong monotonicity, which in our framework is equivalent to the strong…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
Longitudinal data are characterized by the dependence between observations coming from the same individual. In a regression perspective, such a dependence can be usefully ascribed to unobserved features (covariates) specific to each…
The probabilistic satisfiability of a logical expression is a fundamental concept known as the partition function in statistical physics and field theory, an evaluation of a related graph's Tutte polynomial in mathematics, and the…
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
Barseghyan and Molinari (2023) give sufficient conditions for semi-nonparametric point identification of parameters of interest in a mixture model of decision-making under risk, allowing for unobserved heterogeneity in utility functions and…
Stochastic contraction analysis is a recently developed tool for studying the global stability properties of nonlinear stochastic systems, based on a differential analysis of convergence in an appropriate metric. To date, stochastic…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
A classical problem of statistical inference is the valid specification of a model that can account for the statistical dependencies between observations when the true structure is dense, intractable, or unknown. To address this problem, a…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
Given the discrete-time sequence of nonnegative random variables, general dependencies between the exponential convergence of the expectations, exponential convergence of the trajectories and the logarithmic growth of the corresponding…
We propose a new framework for imposing monotonicity constraints in a Bayesian nonparametric setting based on numerical solutions of stochastic differential equations. We derive a nonparametric model of monotonic functions that allows for…
The principle that rational agents should maximize expected utility or choiceworthiness is intuitively plausible in many ordinary cases of decision-making under uncertainty. But it is less plausible in cases of extreme, low-probability risk…
In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be…
The monotone rearrrangement algorithm was introduced by Hardy, Littlewood and P\'olya as a sorting device for functions. Assuming that $x$ is a monotone function and that an estimate $x_n$ of $x$ is given, consider the monotone…
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little…
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the…