This paper presents a conditional mixture, maximum likelihood methodology for performing clusterwise linear regression. This new methodology simultaneously estimates separate regression functions and membership in K clusters or groups. A review of related procedures is discussed with an...

This paper investigates the conditions under which a dynamic, stochastic macroeconomic model with many interacting agents will exhibit the ‘small shocks, large shocks’ property that is often said to characterize observed time series: small shocks have a transient impact on the system,...

This paper presents a new stochastic multidimensional scaling procedure for the analysis of three-mode, three-way pick any/ J data. The method provides either a vector or ideal-point model to represent the structure in such data, as well as “floating” model specifications (e.g., different...

In this paper we review some applications of the path integral methodology of quantum mechanics to financial modeling and options pricing. A path integral is defined as a limit of the sequence of finite-dimensional integrals, in a much the same way as the Riemannian integral is defined as a...

In many firms the pricing and inventory control functions are separated. However, a number of theoretical models suggest a joint determination of inventory levels and prices, as prices also affect stocking risks. In this work, we address the problem of simultaneously determining a pricing and...

Research in the area of stochastic models for actuarial use in South Africa is limited torelatively few publications. Until recently, there has been little focus on actuarialstochastic models that describe the empirical stochastic behaviour of South Africanfinancial and economic variables. A...

(Note: Abridged abstract) Income contingent loans (ICL) are policy instruments that can enable participation in activities that yield both public and private benefits, with repayment conditions that promote equity, remove the risk of loan default, smooth consumption, and thus increase utility...

This research assesses the performance of over-dispersed Poisson regression model and negative binomial model with count data. It examines the association between price plan features of mobile phone services and the number of people who adopt the plan. Mobile service data is used to estimate the...

Most existing empirical evidence on the impact of profit taxationon multinational firm activity is based on cross-country data. One majordrawback of such data is that countries differ not only with regardto taxes but along other dimensions which might be hard to captureby means of observable...

The objective of this paper is to explore how the demand of germplasm held by CGIAR genebanks changed over time in order to assess the possible influence of the 1994 In Trust Agreements on germplasm demand. The proposed theoretic model motivates the realistic hypothesis that the consequences of...