We establish nonparametric identification of auction models with continuous unobserved heterogeneity using three consecutive order statistics of bids. We then propose sieve maximum likelihood estimators for estimating the unobserved heterogeneity distribution and the value distributions jointly....

A dynamic semi-parametric framework is proposed to study time variation in tail fatness of sovereign bond yield changes during the 2010--2012 euro area sovereign debt crisis measured at a high (15-minute) frequency. The framework builds on the Generalized Pareto Distribution (GPD) for modeling...

B. Hill’s work on the “Confidence approach “ to decision making under uncertainty is based on the use of interval valued probability that is categorized as being imprecise, in contrast to the standard Bayesian requirement that a probability assessment must be precise. This requirement is...

In this paper, we compute the tightest possible bounds on the probability that the optimal value of a combinatorial optimization problem in maximization form with a random objective exceeds a given number, assuming only knowledge of the marginal distributions of the objective coefficient vector....

This paper presents a probabilistic modeling approach to the generation expansion problem, where the energy manager of a firm aims at minimizing the investment costs of an energy park subject to the stochastic supply-demand balance constraint. We consider a reliability-based framework, where the...

The long tail hypothesis claims that increased Internet usage will enhance the purchase of obscure items so that, in aggregate, these obscure items will become an important, perhaps primary portion of the market. We test this hypothesis with two analyses. First, using unusually rich data on book...

There have been arguments concerning the ability to measure rational belief. In this debate, a credence or belief has been determined as being measurable by some authors and subjectively orderable by others. I would argue that our conceptual evaluation of belief is more accurately expressed as a...