We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a numerical method for its solution. We show weak...

A portmanteau- and a maximum statistic are proposed to discern the null hypothesis of strict exogeneity from its alternative of predeterminedness in a linear model with shortmemory errors. Both test statistics rely on the vector-valued residual cross-correlation function, suitably pre-whitened...

The word "statistics" was used to express the process of counting things. Statistics were used to express the enumeration of the state's resources in terms of population and resources such as counting the population with the aim of determining the value of taxes. Statistics is defined as the...

We develop inference procedures robust to general forms of weak dependence. The procedures use test statistics constructed by resampling data in a manner that does not depend on the unknown correlation structure of the data. We prove that the statistics are asymptotically normal under the weak...

We study a stochastic auction in a multi-items and unit-demand setting where bidders have one-dimensional type spaces. In a usual Pareto-efficient auction such as the VCG auction, items are allocated deterministically to bidders depending on their bids. However, even if an auctioneer implements...

This chapter discusses Francis Galton’s method of inductive inference where the data are photographs of human faces. His aim of induction was to determine the typical characteristics of the natural class to which the individuals belong by composing the relevant photographs in a specific...

This paper extends the identification results in Nevo and Rosen (2012) to nonparametric models. We derive nonparametric bounds on the average treatment effect when an imperfect instrument is available. As in Nevo and Rosen (2012), we assume that the correlation between the imperfect instrument...

This paper introduces a novel theoretically sound approach for the celebrated CMA-ES algorithm. Assuming the parameters of the multi variate normal distribution for the minimum follow a conjugate prior distribution, we derive their optimal update at each iteration step. Not only provides this...