We propose a simple and robust two-step estimator for discount factors in a class of dynamic discrete choice models. The estimator follows from constructive identification results, including a new identification result for a general, time separable discount function. The estimator is derived as...

Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal stopping problems with known probability distributions. The...

In this paper we present a robust parameter estimation method for jointly estimating shape parameter α, scale parameter γ and location parameter δ of a symmetric stable distribution. The proposed estimation method is based on Probability Integral Transformation (PIT) and robust M-estimators....

The concept of breakdown point was introduced by Hodges (1967) and Hampel (1968, 1971) and still plays an important though at times a controversial role in robust statistics. It has proved most successful in the context of location, scale and regression problems. In this paper we argue that this...