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Documents  62P20 | enregistrements trouvés : 38

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Research talks;History of Mathematics;Mathematics in Science and Technology;Probability and Statistics

In his 1947 essay, Tjalling Koopmans criticized the development of an empirical science that had no theoretical basis, what he referred to as measurement without theory. The controversy over the status of relations based on mere statistical inference has not ceased since then. Instead of looking for the contemporary consequences, however, I will inquire into its early beginnings. As early as the 1900s, Walras, Pareto and Juglar exchanged views on the status of theory and its relation to economic data. These private exchanges acquired the status of scientific controversy in the aftermath of the First World War, with the dissemination of Pareto’s work. It is precisely this moment that I will try to grasp, when engineers began to read and write pure economic treatises, questioning the relation between theory and empirical problems, the nature of their project and the expectations that the subsequent development of economics has tried to fulfill.

Cournot Centre session devoted to the transformations that took place in mathematical economics during the interwar period.
In his 1947 essay, Tjalling Koopmans criticized the development of an empirical science that had no theoretical basis, what he referred to as measurement without theory. The controversy over the status of relations based on mere statistical inference has not ceased since then. Instead of looking for the contemporary consequences, however, I will inquire into its early beginnings. As early as the 1900s, Walras, Pareto and Juglar exchanged views ...

01A60 ; 62P20 ; 91BXX

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Research talks;Probability and Statistics

Data mining methods based on finite mixture models are quite common in many areas of applied science, such as marketing, to segment data and to identify subgroups with specific features. Recent work shows that these methods are also useful in micro econometrics to analyze the behavior of workers in labor markets. Since these data are typically available as time series with discrete states, clustering kernels based on Markov chains with group-specific transition matrices are applied to capture both persistence in the individual time series as well as cross-sectional unobserved heterogeneity. Markov chains clustering has been applied to data from the Austrian labor market, (a) to understanding the effect of labor market entry conditions on long-run career developments for male workers (Frühwirth-Schnatter et al., 2012), (b) to study mothers’ long-run career patterns after first birth (Frühwirth-Schnatter et al., 2016), and (c) to study the effects of a plant closure on future career developments for male worker (Frühwirth-Schnatter et al., 2018). To capture non- stationary effects for the later study, time-inhomogeneous Markov chains based on time-varying group specific transition matrices are introduced as clustering kernels. For all applications, a mixture-of-experts formulation helps to understand which workers are likely to belong to a particular group. Finally, it will be shown that Markov chain clustering is also useful in a business application in marketing and helps to identify loyal consumers within a customer relationship management (CRM) program. Data mining methods based on finite mixture models are quite common in many areas of applied science, such as marketing, to segment data and to identify subgroups with specific features. Recent work shows that these methods are also useful in micro econometrics to analyze the behavior of workers in labor markets. Since these data are typically available as time series with discrete states, clustering kernels based on Markov chains with ...

62C10 ; 62M05 ; 62M10 ; 62H30 ; 62P20 ; 62F15

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- 370 p.
ISBN 978-2-222-02150-6

Localisation : Colloque 1er étage (NICE)

analyse des données # analyse factorielle # analyse régionale d'entreprise # doubles mondres carrés # indicateur régional d'infrastructure sociale # modèle régional # modèle régional-national # série décalée # typologie régionale # économétrie

00A71 ; 62-06 ; 62P20 ; 90-06 ; 90Axx

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ISBN 978-2-7108-0733-9

Association pour la statistique et ses utilisations

Localisation : Colloque 1er étage (MARS)

analyse de variance # application à l'entreprise # approche méthodologique ou Taguchi # historique # modèle de régression non linéaire # modèle linéaire # plan d'expérience # plan d'expérience optimal # plan factoriel # planification d'expérience # surface de réponse ou mélange

62J02 ; 62J05 ; 62J10 ; 62J12 ; 62P20

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- pag. mult.

Localisation : Colloque 1er étage (MARS)

estimateur à noyaux # fonction orthogonale # noyeau auto-reproduisant # fonction spline # prédiction non-paramétrique # donnée spaciale # courbe de croissance # économie

62G08 ; 62G07 ; 62-07 ; 62P20

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- xii; 430 p.
ISBN 978-1-4939-2732-6

Fields institute communications , 0074

Localisation : Collection 1er étage

finance # statistique # marché financier # économie environnementale # production d'énergie # marché oligopolistique

60-XX ; 62-XX ; 91-XX ; 93-XX ; 91-06 ; 91B76 ; 91G80 ; 62P20 ; 00B25

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Research talks;Probability and Statistics

Sometimes, you feel you’re spoilt for choice: there are so many good predictors that you could use! Why select and focus on just one? I will review the framework of robust online aggregation (also known as prediction of individual sequences or online aggregation of expert advice). This setting explains how to combine base forecasts provided by ensemble methods. No stochastic modeling is needed and the performance achieved is comparable to the one of the best (constant convex combination of) base forecast(s). I will illustrate the technology on various data sets, including electricity consumption and exchange rates. More importantly, I will point out open issues, both on the theoretical and on the practical sides. Sometimes, you feel you’re spoilt for choice: there are so many good predictors that you could use! Why select and focus on just one? I will review the framework of robust online aggregation (also known as prediction of individual sequences or online aggregation of expert advice). This setting explains how to combine base forecasts provided by ensemble methods. No stochastic modeling is needed and the performance achieved is comparable to the ...

62Lxx ; 62P12 ; 62P20

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Research talks;Probability and Statistics

62P20

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Research talks;Probability and Statistics

62P20

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Research talks;Probability and Statistics

62P20

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Research talks;Probability and Statistics

62P20

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Research talks;History of Mathematics;Mathematics in Science and Technology;Probability and Statistics

In order to explore the advances made on the economic issue of business cycles, I will present the work of the American economist Henry Ludwell Moore, who published four works on the question between the years 1911 and 1923. Within this framework, I will introduce several issues, such as the duality of empirical and theoretical approaches, the causal and semiological interpretations of the correlation, the notion of the ceteris paribus law in economics, the notion of non-probabilistic statistical mathematics, the development of the notion of the dynamic model at the end of the 1920s, the diverse analysis techniques of chronological series and their artefacts. I will also make reference to the contributions of other actors in this field.

Cournot Centre session devoted to the transformations that took place in mathematical economics during the interwar period.
In order to explore the advances made on the economic issue of business cycles, I will present the work of the American economist Henry Ludwell Moore, who published four works on the question between the years 1911 and 1923. Within this framework, I will introduce several issues, such as the duality of empirical and theoretical approaches, the causal and semiological interpretations of the correlation, the notion of the ceteris paribus law in ...

01A60 ; 62P20 ; 91BXX

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Research talks;History of Mathematics;Mathematics in Science and Technology;Probability and Statistics

Cournot Centre session devoted to the transformations that took place in mathematical economics during the interwar period.

01A60 ; 62P20 ; 91BXX

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Research talks;History of Mathematics;Mathematics in Science and Technology;Probability and Statistics

Cournot Centre session devoted to the transformations that took place in mathematical economics during the interwar period.

01A60 ; 62P20 ; 91BXX

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Research talks;Probability and Statistics

It is generally admitted that financial time series have heavy tailed marginal distributions. When time series models are fitted on such data, the non-existence of appropriate moments may invalidate standard statistical tools used for inference. Moreover, the existence of moments can be crucial for risk management. This talk considers testing the existence of moments in the framework of standard and augmented GARCH models. In the case of standard GARCH, even-moment conditions involve moments of the independent innovation process. We propose tests for the existence of moments of the returns process that are based on the joint asymptotic distribution of the estimator of the volatility parameters and empirical moments of the residuals. To achieve efficiency gains we consider non Gaussian QML estimators founded on reparametrizations of the GARCH model, and we discuss optimality issues. We also consider augmented GARCH processes, for which moment conditions are less explicit. We establish the asymptotic distribution of the empirical moment Generating function (MGF) of the model, defined as the MGF of the random autoregressive coefficient in the volatility dynamics, from which a test is deduced. An alternative test is based on the estimation of the maximal exponent characterizing the existence of moments. Our results will be illustrated with Monte Carlo experiments and real financial data. It is generally admitted that financial time series have heavy tailed marginal distributions. When time series models are fitted on such data, the non-existence of appropriate moments may invalidate standard statistical tools used for inference. Moreover, the existence of moments can be crucial for risk management. This talk considers testing the existence of moments in the framework of standard and augmented GARCH models. In the case of ...

37M10 ; 62M10 ; 62P20

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- 287 p.
ISBN 978-0-12-426604-9

Developments in statistics , 0004

Localisation : Ouvrage RdC (Deve)

62-06 ; 62M15 ; 62P20

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- 846 p.
ISBN 978-2-04-011101-4

Finance et economie appliquee , 0016

Localisation : Disparu

62P20 ; 90Axx

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- 198 p.
ISBN 978-3-540-10838-2

Lecture notes in economics and mathematical systems

Localisation : Ouvrage RdC (BIER)

62P20

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Collection sup , 0044

Localisation : Disparu

mathematique de l'economie # mathematiques des sciences economiques

62P20 ; 90-01 ; 90Axx ; 90Cxx

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ISBN 978-0-444-00424-6

A series of volumes in dynamic economics

Localisation : Disparu

calcul des variations # calcul et programmation # condition d'optimalite # controle optimal # mathematique de l'economie # optimisation # programmation dynamique # programmation non lineaire

49DXX ; 62P20 ; 90A14 ; 90Axx ; 92Bxx

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