Related papers: Nonparametric inference on counterfactuals in firs…

We study regret minimization in repeated first-price auctions (FPAs), where a bidder observes only the realized outcome after each auction -- win or loss. This setup reflects practical scenarios in online display advertising where the…

Sellers often prescreen potential bidders, restricting participation to a select group of capable participants. Recent advances in machine learning and generative AI make this strategy increasingly viable by enabling the cost-effective…

We consider the problem of estimating assortment probabilities, which is common in operations management applications, including product bundling, advertising, etc. Existing approaches typically model each assortment as a category and apply…

Interdependent values make basic auction design tasks -- in particular maximizing welfare truthfully in single-item auctions -- quite challenging. Eden et al. recently established that if the bidders valuation functions are submodular over…

We study the optimal auction design problem when bidders' preferences follow the maxmin expected utility model. We suppose that each bidder's set of priors consists of beliefs close to the seller's belief, where "closeness" is defined by a…

This paper is concerned with non-parametric estimation of the entropy in ranked set sampling. Theoretical properties of the proposed estimator are studied. The proposed estimator is compared with the rival estimator in simple random…

Nonparametric series regression often involves specification search over the tuning parameter, i.e., evaluating estimates and confidence intervals with a different number of series terms. This paper develops pointwise and uniform inferences…

We consider the problem of designing auctions which maximize consumer surplus (i.e., the social welfare minus the payments charged to the buyers). In the consumer surplus maximization problem, a seller with a set of goods faces a set of…

An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…

We examine the empirical performance of some parametric and nonparametric estimators of prices of options with a fixed time to maturity, focusing on variance-gamma and Heston models on one side, and on expansions in Hermite functions on the…

We study the problem of contextual online bilateral trade. At each round, the learner faces a seller-buyer pair and must propose a trade price without observing their private valuations for the item being sold. The goal of the learner is to…

This paper studies nonparametric identification and counterfactual bounds for heterogeneous firms that can be ranked in terms of productivity. Our approach works when quantities and prices are latent, rendering standard approaches…

Auction is applied for trade with various mechanisms. A simple but practical question is which mechanism, typically first-price or second-price auctions, is preferred from the perspective of bidders or sellers. A celebrated answer is…

Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this…

We investigate the nonparametric estimation for regression in a fixed-design setting when the errors are given by a field of dependent random variables. Sufficient conditions for kernel estimators to converge uniformly are obtained. These…

We study statistical parameter estimation in the setting of data markets. A buyer seeks to estimate a parameter based on samples that can be purchased from competing providers that differ in their data quality and provision costs. When…

In practice, most auction mechanisms are not strategy-proof, so equilibrium analysis is required to predict bidding behavior. In many auctions, though, an exact equilibrium is not known and one would like to understand whether -- manually…

Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived,…

To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…

We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance…