Optimal designs for estimating individual coefficients in polynomial regression with no intercept Anzeigen

In a seminal paper Studden (1968) characterized c-optimal designs in regression models, where the regression functions form a Chebyshev system. He used these results to determine the optimal design for estimating the individual coefficients in a polynomial regression model on the interval [-1; 1] explicitly. In this note we identify the optimal design for estimating the individual coefficients in a polynomial regression model with no intercept (here the regression functions do not form a...

Financial risk measures for a network of individual agents holding portfolios of lighttailed objects Anzeigen

We investigate a financial network of agents holding portfolios of independent light-tailed risky objects whose losses are asymptotically exponentially distributed with distinct tail parameters. We show that the asymptotic distributions of portfolio losses belong to the class of functional exponential mixtures which we introduce in this paper. We also provide statements for Value-at-Risk and Expected Shortfall risk measures as well as for their conditional counterparts. Compared to heav...

A new approach for open-end sequential change point monitoring Anzeigen

We propose a new sequential monitoring scheme for changes in the parameters of a multivariate time series. In contrast to procedures proposed in the literature which compare an estimator from the training sample with an estimator calculated from the remaining data, we suggest to divide the sample at each time point after the training sample. Estimators from the sample before and after all separation points are then continuously compared calculating a maximum of norms of their differences...

Wirtschaftliche Aktivität und Emissionen: Die Umweltkuznetskurve Anzeigen

Seit dem Beginn der industriellen Revolution ist die mittlere globale Temperatur um circa ein Grad Celsius gestiegen. Es steht außer Zweifel, dass dieser Anstieg wesentlich auch durch menschliche Aktivitäten getrieben ist - durch Emissionen von Kohlenstoffdioxid und anderen Treibhausgasen. Wie sehen die Zusammenhänge zwischen wirtschaftlicher Aktivität und Emissionen aus? Steigen die Emissionen zwingend mit steigender wirtschaftlicher Aktivität? In diesem Kapitel wollen wir einige grundl...

Limit theorems for locally stationary processes Anzeigen

We present limit theorems for locally stationary processes that have a one sided time-varying moving average representation. In particular, we prove a central limit theorem (CLT), a weak and a strong law of large numbers (WLLN, SLLN) and a law of the iterated logarithm (LIL) under mild assumptions that are closely related to those originally imposed by Dahlhaus and Polonik (2006).

Some explicit solutions of c-optimal design problems for polynomial regression Anzeigen

In this paper we consider the optimal design problem for extrapolation and estimation of the slope at a given point, say z, in a polynomial regression with no intercept. We provide explicit solutions of these problems in many cases and characterize those values of z, where this is not possible.

On scale estimation under shifts in the mean Anzeigen

In many situations it is crucial to estimate the variance properly. Ordinary variance estimators perform poorly in the presence of shifts in the mean. We investigate an approach based on non-overlapping blocks, which yields good results in this change-point scenario. We show the strong consistency and the asymptotic normality of such blocks-estimators of the variance under rather general conditions. For estimation of the standard deviation a blocks-estimator based on average standard dev...

Optimal designs for model averaging in non-nested models Anzeigen

In this paper we construct optimal designs for frequentist model averaging estimation. We derive the asymptotic distribution of the model averaging estimate with fixed weights in the case where the competing models are non-nested and none of these models is correctly specified. A Bayesian optimal design minimizes an expectation of the asymptotic mean squared error of the model averaging estimate calculated with respect to a suitable prior distribution. We demonstrate that Bayesian optima...

WTA-WTP disparity: The role of perceived realism of the valuation setting Anzeigen

Based on a survey among more than 5,000 German households and a single-binary choice experiment in which we randomly split the respondents into two groups, this paper elicits both households’ willingness to pay (WTP) for power supply security and their willingness to accept (WTA) compensations for a reduced security level. In accord with numerous empirical studies, we find that the mean WTA value substantially exceeds the mean WTP bid, in our empirical example by a factor of 3.56. Yet, ...

Employee representation and innovation – disentangling the effect of legal and voluntary representation institutions in Germany Anzeigen

This paper studies the effect of employee representation bodies provided by management on product and process innovations. In contrast to statutory forms of co-determination such as works councils, participative practices initiated by management are not equipped with any legally granted rights at all. Such alternative forms of employee representation are far less frequently and thoroughly analyzed than works councils. We compare the effects of these co-determination institutions established v...

Equivalence of regression curves sharing common parameters Anzeigen

In clinical trials the comparison of two different populations is a frequently addressed problem. Non-linear (parametric) regression models are commonly used to describe the relationship between covariates as the dose and a response variable in the two groups. In some situations it is reasonable to assume some model parameters to be the same, for instance the placebo effect or the maximum treatment effect. In this paper we develop a (parametric) bootstrap test to establish the similarity...

The empirical process of residuals from an inverse regression Anzeigen

In this paper we investigate an indirect regression model characterized by the Radon transformation. This model is useful for recovery of medical images obtained by computed tomography scans. The indirect regression function is estimated using a series estimator motivated by a spectral cut-off technique. Further, we investigate the empirical process of residuals from this regression, and show that it satsifies a functional central limit theorem.

Generalized sign tests based on sign depth Anzeigen

We introduce generalized sign tests based on K-sign depth, shortly denoted by K-depth. These so-called K-depth tests are motivated by simplicial regression depth. Since they depend only on the signs of the residuals, these test statistics are easy to comprehend and outlier robust. We show that the K-depth test with K = 2 is equivalent to the classical sign test so that K-depth tests with K > 2 are generalizations of the classical sign test. Since the K-depth test with K = 2 is equivalen...

A generalized method of moments estimator for structural vector autoregressions based on higher moments Anzeigen

I propose a generalized method of moments estimator for structural vector autoregressions with non-Gaussian shocks. The shocks are identified by exploiting information contained in higher moments of the data. Extending the standard identification approach, which relies on the shocks' covariance, to the shocks' coskewness and cokurtosis allows to identify the simultaneous interaction without any further restrictions. I analyze the estimator's performance depending on the co-moments used ...

Optimal designs for series estimation in nonparametric regression with correlated data Anzeigen

In this paper we investigate the problem of designing experiments for series estimators in nonparametric regression models with correlated observations. We use projection based estimators to derive an explicit solution of the best linear oracle estimator in the continuous time model for all Markovian-type error processes. These solutions are then used to construct estimators, which can be calculated from the available data along with their corresponding optimal design points. Our results are ...

Goodness-of-fit testing the error distribution in multivariate indirect regression Anzeigen

We propose a goodness-of-fit test for the distribution of errors from a multivariate indirect regression model. The test statistic is based on the Khmaladze transformation of the empirical process of standardized residuals. This goodness-of-fit test is consistent at the root-n rate of convergence, and the test can maintain power against local alternatives converging to the null at a root-n rate.

A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing Anzeigen

Due to the surge of data storage techniques, the need for the development of appropri-ate techniques to identify patterns and to extract knowledge from the resulting enormous data sets, which can be viewed as collections of dependent functional data, is of increasing interest in many scientific areas. We develop a similarity measure for spectral density oper-ators of a collection of functional time series, which is based on the aggregation of Hilbert-Schmidt differences of the individual time...

Aliasing effects for random fields over spheres of arbitrary dimension Anzeigen

In this paper, aliasing effects are investigated for random fields defined on the d-dimensional sphere Sd, and reconstructed from discrete samples. First, we introduce the concept of an aliasing function on Sd. The aliasing function allows to identify explicitly the aliases of a given harmonic coefficient in the Fourier decomposition. Then, we exploit this tool to establish the aliases of the harmonic coefficients approximated by means of the quadrature procedure named spherical uniform samp...

Increased market transparency in Germany’s gasoline market: The death of rockets and feathers? Anzeigen

Drawing on a consumer search model and a unique panel data set of daily fuel prices covering over 5,000 fuel stations in Germany, this paper documents a change in the price setting behavior of retail gas stations following the introduction of a legally mandated on-line price portal. Prior to the introduction of the portal in 2013, positive asymmetry is found on the basis of error correction models, with prices following the “rockets and feathers” pattern documented in many commodity mark...