Related papers: Monotone additive statistics
High-dimensional multivariate longitudinal data, which arise when many outcome variables are measured repeatedly over time, are becoming increasingly common in social, behavioral and health sciences. We propose a latent variable model for…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
Higher order risk measures are stochastic optimization problems by design, and for this reason they enjoy valuable properties in optimization under uncertainties. They nicely integrate with stochastic optimization problems, as has been…
Clustered observations are ubiquitous in controlled and observational studies and arise naturally in multi-centre trials or longitudinal surveys. We present a novel model for the analysis of clustered observations where the marginal…
To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…
In statistical modeling of computer experiments sometimes prior information is available about the underlying function. For example, the physical system simulated by the computer code may be known to be monotone with respect to some or all…
Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general…
We provide and axiomatize a representation for preferences over lotteries that generalizes the expected utility model. Since the representation uses different utility functions to evaluate different lotteries, the preferences can be…
Consider continuous-time random walks on Cayley graphs where the rate assigned to each edge depends only on the corresponding generator. We show that the limiting speed is monotone increasing in the rates for infinite Cayley graphs that…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…
It is well-known that assumptions of monotonicity in size-bias couplings may be used to prove simple, yet powerful, Poisson approximation results. Here we show how these assumptions may be relaxed, establishing explicit Poisson…
A monotone function interval is the set of monotone functions that lie pointwise between two fixed monotone functions. We characterize the set of extreme points of monotone function intervals and apply this to a number of economic settings.…
This paper considers the theoretical, computational, and econometric properties of continuous time dynamic discrete choice games with stochastically sequential moves, introduced by Arcidiacono, Bayer, Blevins, and Ellickson (2016). We…
Stochastic dominance serves as a general framework for modeling a broad spectrum of decision preferences under uncertainty, with risk aversion as one notable example, as it naturally captures the intrinsic structure of the underlying…
A new modeling framework for bipartite social networks arising from a sequence of partially time-ordered relational events is proposed. We directly model the joint distribution of the binary variables indicating if each single actor is…
We study causal inference under case-control and case-population sampling. Specifically, we focus on the binary-outcome and binary-treatment case, where the parameters of interest are causal relative and attributable risks defined via the…
A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on…
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…