A robust principal component analysis can be easily performed by computing the eigenvalues and eigenvectors of a robust estimator of the covariance or correlation matrix. In this paper the authors derive the influence functions and the corresponding asumptotic variances for these robust...

Dans cette note, nous nous proposons de modeliser le comportement d'une grandeur croissante dont l'evolution peut etre representee graphiquement par une courbe en forme de "S" incline. A cet effet, nous envisageons quatre fonctions assez classiques: arctangente, logistique, de Gompertz et de...

The Minimum Covariance Determinant (MCD) estimator is a highly robust procedure for estimating the centre and shape of a high dimensional data set. It consists of determining a subsample of h points out of n which minimises the generalised variance. By definition, the computation of this...

In fiscal federal systems, local public works that generate spillovers are often financed by transfers from higher levels of government. In this article, we consider a governmental hierarchy composed by a Federal and a Local Government. The former delegates to the latter the task of finding a...

The purpose of this paper is twofold: it presents the current state of the welfare state in the European Union, and it considers its future prospects given the various challenges to which it is exposed. In the presentation of social protection, which is the main component of the welfare state,...

An axiomatization of the interactions between the palyers of any coalition is given. It is based on three axioms: linearity, dummy and symmetry. These interaction indices extend the Banzhaf and Shapley values when using in addition two equivalent recursive axioms. Lastly, the authors give an...

This paper analyses how government policies can affect the steady state margins and output in European countries. It draws heavily on a study realized by Aziz J. and Leruth L. (1997), who show that the government can the cyclical behaviour of the economy by changing the composition of public...

This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz' classical mean-variance model is enriched with additional realistic constraints....

This paper presents a Gaussian reduced-form default risk model. The riskless rate follows a two-dimensional ARMA process. The mean-reverting default spread features a ratio involving the market value of the firm's assets. Under recurrent credit risk, bond prices are analytically derived. Using...