Bayesian Inference of Model Error in Imprecise Models

The variability of these estimates is surprisingly large, however: The present simulations indicate that repeating one and the same Bayesian ANOVA on a constant dataset often results

In this paper we present a method for hypothesis testing on the diffusion coefficient, that is based upon the observation of functionals defined on regularizations of the path of

Abstract: For a large class of distributions and large samples, it is shown that estimates of the variance σ 2 and of the standard deviation σ are more often Pitman closer to

L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des

For the non-independent multivariate gamma models, it is then pointed out that the UMVU and the maxi- mum likelihood estimators are not proportional as conjectured for models

The vertical red solid line represents the true parameter value and the dashed black, green and blue line indicates the 50000, 100000 and 300000 iteration estimates of β

Finally, we compare the Sharpe ratios obtained by the standard mean-variance allocation and the penalized one for four dif- ferent reference portfolios: equal-weights,

This note shows that the asymptotic variance of Chen’s [Econometrica, 70, 4 (2002), 1683–1697] two-step estimator of the link function in a linear transformation model depends on