Search Results - subject:"Rate of Convergence"

Competitive Rational Expectations Equilibria without Apology

Kovalenkov, Alexander; Vives, Xavier - CESifo - 2008

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in eachsituation converge...

Persistent link: https://www.econbiz.de/10005405996

The Rate of Convergence to Perfect Competition of Matching and Bargaining Mechanisms

Shneyerov, Artyom; Won, Adam Chi Leung - Center for Mathematical Studies in Economics and … - 2008

The Rate of Convergence to Perfect Competition of Matching and Bargaining Mechanisms Artyom Shneyerov CIREQ, CIRANO and … Competition, Rate of Convergence JEL Classi cation Numbers: C73, C78, D83. 1 Introduction A number of papers in the literature on … rate of convergence to e ciency has been the focus of the literature on static double auctions. It is important to know how …

Persistent link: https://www.econbiz.de/10005588327

Asymptotic results for the regression function estimate on continuous time stationary and ergodic data

Didi, Sultana; Louani, Djamal - In: Statistics & Risk Modeling 31 (2014) 2, pp. 129-150

Abstract This paper is devoted to the study of asymptotic properties of the regression function kernel estimate in the setting of continuous time stationary and ergodic data. More precisely, considering the Nadaraya–Watson type estimator, say m̂ T ( x ) , of the l -indexed regression function...

Persistent link: https://www.econbiz.de/10014621210

SIMULATION-BASED OPTIMIZATION BY NEW STOCHASTIC APPROXIMATION ALGORITHM

XU, ZI; LI, YINGYING; ZHAO, XINGFANG - In: Asia-Pacific Journal of Operational Research (APJOR) 31 (2014) 04, pp. 1450026-1

asymptotic rate of convergence of the new algorithm are established. Our numerical experiments show that it outperforms the …

Persistent link: https://www.econbiz.de/10010888464

Strong consistency and rates of convergence for a random estimator of a fuzzy set

Terán, Pedro; López-Díaz, Miguel - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 130-145

simulation study suggests that the behaviour for moderately small samples is coherent with the theoretical rate of convergence …

Persistent link: https://www.econbiz.de/10011056484

Approximating Markov chains and V-geometric ergodicity via weak perturbation theory

Hervé, Loïc; Ledoux, James - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 613-638

Let P be a Markov kernel on a measurable space X and let V:X→[1,+∞). This paper provides explicit connections between the V-geometric ergodicity of P and that of finite-rank non-negative sub-Markov kernels P̂k approximating P. A special attention is paid to obtain an efficient way to...

Persistent link: https://www.econbiz.de/10011064914

THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

APPOLLONI, ELISA; GAUDENZI, MARCELLINO; ZANETTE, ANTONINO - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450035-1

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double...

Persistent link: https://www.econbiz.de/10010933657

Nonparametric recursive quantile estimation

Kohler, Michael; Krzyżak, Adam; Walk, Harro - In: Statistics & Probability Letters 93 (2014) C, pp. 102-107

rate of convergence log3+p/2(n)⋅n−1/2−p/(2d). …

Persistent link: https://www.econbiz.de/10011039780

Optimal global rates of convergence for noiseless regression estimation problems with adaptively chosen design

Kohler, Michael - In: Journal of Multivariate Analysis 132 (2014) C, pp. 197-208

speaking, m is p-times continuously differentiable) it is shown that the optimal minimax rate of convergence of the L1 error is … satisfies some moment condition. Furthermore it is shown that this rate of convergence cannot be improved even if the function …

Persistent link: https://www.econbiz.de/10011041955

Competitive rational expectations equilibria without apology

Kovalenkov, Alexander; Vives, Xavier - In: Journal of Economic Theory 149 (2014) C, pp. 211-235

Consider a financial market with N risk-averse asymmetrically informed traders. When N grows at the same rate as noise trading, prices in competitive and in strategic rational expectations equilibrium converge to each other at a rate of 1/N. Equilibria in the two scenarios are close when noise...

Persistent link: https://www.econbiz.de/10011043021