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BAYESIAN AND DOMINANT STRATEGY IMPLEMENTATION IN THE INDEPENDENT PRIVATE VALUES MODEL
Independent private values incentive compatibility Bayesian implementations dominant-strategy implementation adverse selection bilateral trade mechanism design
2015/9/23
We prove—in the standard independent private-values model—that the outcome, in terms of expected probabilities of trade and expected transfers, of any Bayesian mechanism, can also be obtained with a d...
Overconfidence by Bayesian Rational Agents
Risk and Uncertainty Measurement and Metrics Game Theory Forecasting and Prediction
2015/4/23
This paper derives two mechanisms through which Bayesian-rational individuals with differing priors will tend to be relatively overconfident about their estimates and predictions, in the sense of over...
Budget Feasible Mechanism Design:From Prior-Free to Bayesian
Mechanism design, budget feasible, prior-free, Bayesian, submodular, subadditive, approximation
2012/12/3
Budget feasible mechanism design studies procurement combinatorial auctions in which the sellers have private costs to produce items, and the buyer (auctioneer) aims to maxi mize a social valuation fu...
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
Tobit Bayesian Model Averaging and the Determinants of Foreign Direct Investment
Bayesian Model Averaging Foreign Direct Investment Tobit Estimation Gibbs Sampling Conditional Bayes Factors
2012/6/5
We develop a fully Bayesian, computationally efficient framework for incorporating model uncertainty into Type II Tobit models and apply this to the investigation of the determinants of Foreign Direct...
Bayesian logistic betting strategy against probability forecasting
exponential family game-theoretic probability Japan Meteorological Agency probability of precipitation strong law of large numbers
2012/4/28
We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove som...
Bayesian Model Choice of Grouped t-copula
modeling dependence a priori grouping historical data
2011/3/30
One of the most popular copulas for modeling dependence structures is t-copula.Recently the grouped t-copula was generalized to allow each group to have one mem-ber only,so that a priori grouping is n...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Markov chain Monte Carlo Bayesian Cointegrated VAR model
2010/10/19
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesia...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction
2010/10/19
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities o...
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction Bayesian chain ladder approximate Bayesian computation Markov chain Monte Carlo annealing bootstrap
2010/4/28
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of...
Self-Selectivity in Firm’s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy with Feedback
IPO finance studies survival probabilities
2011/4/1
Examination on firm performance subsequent to a chosen event is widely used in finance studies to analyze the motivation behind managerial decisions. However, results are often subject to bias when th...