Related papers: Risk and Monotone Comparative Statics without Inde…
Unlike classical and free independence, the boolean and monotone notions of independence lack of the property of independent constants. In the scalar case, this leads to restrictions for the central limit theorems, as observed by F.…
The present paper proposes a new treatment effects estimator that is valid when the number of time periods is small, and the parallel trends condition holds conditional on covariates and unobserved heterogeneity in the form of interactive…
Randomized experiments on social networks pose statistical challenges, due to the possibility of interference between units. We propose new methods for estimating attributable treatment effects in such settings. The methods do not require…
In this paper we introduce the class of stationary prediction strategies and construct a prediction algorithm that asymptotically performs as well as the best continuous stationary strategy. We make mild compactness assumptions but no…
Comparison-based preference learning has become central to the alignment of AI models with human preferences. However, these methods may behave counterintuitively. After empirically observing that, when accounting for a preference for…
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…
This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…
We characterize the identified sets of a wide range of stochastic choice models, including random utility, various models of boundedly-rational behavior, and dynamic discrete choice. In each of these settings, we show two distributions over…
Allocation of spectrum is an important policy issue and decisions taken have ramifications for future growth of wireless communications and achieving universal connectivity. In this paper, on a common footing we compare the social welfare…
Static analyses overwhelmingly trade precision for soundness and automation. For this reason, their use-cases are restricted to situations where imprecision isn't prohibitive. In this paper, we propose and specify a static analysis that…
Convex combinations of i.i.d. random variables without a finite mean can behave in a strikingly different way from the finite-mean case: as the weight vector becomes more balanced, the resulting combination may become stochastically larger,…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients…
We initiate a novel direction in randomized social choice by proposing a new definition of agent utility for randomized outcomes. Each agent has a preference over all outcomes and a {\em quantile} parameter. Given a {\em lottery} over the…
We propose a learning-based robust predictive control algorithm that compensates for significant uncertainty in the dynamics for a class of discrete-time systems that are nominally linear with an additive nonlinear component. Such systems…
Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative…
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…
We propose consistent nonparametric tests of conditional independence for time series data. Our methods are motivated from the difference between joint conditional cumulative distribution function (CDF) and the product of conditional CDFs.…
In previous work cite{Ha98:Towards} we presented a case-based approach to eliciting and reasoning with preferences. A key issue in this approach is the definition of similarity between user preferences. We introduced the probabilistic…
We study existence, uniqueness and computability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences---one that analyzes principal eigenvalues of…