Search Results - subject:"Conditional Independence"

Existence, incentive compatibility and efficiency of the rational expectations equilibrium

Sun, Yeneng; Wu, Lei; Yannelis, Nicholas C. - In: Games and Economic Behavior 76 (2012) 1, pp. 329-339

The rational expectations equilibrium (REE), as introduced in Radner (1979) in a general equilibrium setting à la Arrow–Debreu–McKenzie, often fails to have desirable properties such as universal existence, incentive compatibility and efficiency. We resolve those problems by providing a new...

Persistent link: https://www.econbiz.de/10011049735

Asymptotic behavior of random time absolute ruin probability with D∩L tailed and conditionally independent claim sizes

Bai, Xiaodong; Song, Lixin - In: Statistics & Probability Letters 82 (2012) 9, pp. 1718-1726

Consider the probability of random time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. We assume that claim sizes Xi,i=1,2,…, are conditionally independent on some sigma algebra and that the common distribution belongs to class D∩L. We...

Persistent link: https://www.econbiz.de/10011039831

Strongly consistent nonparametric tests of conditional independence

Györfi, László; Walk, Harro - In: Statistics & Probability Letters 82 (2012) 6, pp. 1145-1150

A simple and explicit procedure for testing the conditional independence of two multi-dimensional random variables …

Persistent link: https://www.econbiz.de/10011039837

Causality with finite horizon of the past in continuous time

Petrović, Ljiljana; Dimitrijević, Sladjana - In: Statistics & Probability Letters 82 (2012) 7, pp. 1219-1223

Motivated by Florens et al. (1993) and recent studies of stochastic systems with memory, we suggest the new concept of causality for continuous time stochastic processes which deal with finite horizon of the past. Also, we present results which show connections between the given concept of...

Persistent link: https://www.econbiz.de/10011040086

A conditional independence test for dependent data based on maximal conditional correlation

Cheng, Yu-Hsiang; Huang, Tzee-Ming - In: Journal of Multivariate Analysis 107 (2012) C, pp. 210-226

In Huang (2010) [8], a test of conditional independence based on maximal nonlinear conditional correlation is proposed … and the asymptotic distribution for the test statistic under conditional independence is established for IID data. In this … paper, we derive the asymptotic distribution for the test statistic under conditional independence for α-mixing data. The …

Persistent link: https://www.econbiz.de/10011042060

Characterizing belief-free review-strategy equilibrium payoffs under conditional independence

Yamamoto, Yuichi - In: Journal of Economic Theory 147 (2012) 5, pp. 1998-2027

This paper proposes and studies a tractable subset of Nash equilibria, belief-free review-strategy equilibria, in repeated games with private monitoring. The payoff set of this class of equilibria is characterized in the limit as the discount factor converges to one for games where players...

Persistent link: https://www.econbiz.de/10011042916

Split variable selection for tree modeling on rank data

Kung, Yi-Hung; Lin, Chang-Ting; Shih, Yu-Shan - In: Computational Statistics & Data Analysis 56 (2012) 9, pp. 2830-2836

A variable selection method for constructing decision trees with rank data is proposed. It utilizes conditional … independence tests based on loglinear models for contingency tables. Compared with other selection methods, our method is …

Persistent link: https://www.econbiz.de/10010574500

Smoothness of conditional independence models for discrete data

Forcina, Antonio - In: Journal of Multivariate Analysis 106 (2012) C, pp. 49-56

We investigate a family of conditional independence models defined by constraints on complete but non hierarchical … hierarchical conditional independence models and to a directed cyclic graph model; we establish that they are all smooth. …

Persistent link: https://www.econbiz.de/10010576491

Characterizing Belief-Free Review-Strategy Equilibrium Payoffs under ConditionalIndependence

Yamamoto, Yuichi - Department of Economics, University of Pennsylvania - 2012

Persistent link: https://www.econbiz.de/10009650274

Objective priors for generative star-shape models

Liang, Ye; Sun, Dongchu - In: Statistics & Probability Letters 82 (2012) 5, pp. 991-997

With sparse structures and conditional independence, one could estimate the precision matrix of Gaussian graphical …

Persistent link: https://www.econbiz.de/10010571826