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Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging
2016/1/25
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging Model averaging
2016/1/20
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
Nonlinearity Nonparametric regression Semiparametric regression Local mono- tonicity Bagging
2016/1/20
This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang(2001). Asymptotic properties of ...
Savings Constraints and Microenterprise Development: Evidence from a Field Experiment in Kenya
Savings micro-enterprise development Kenya a field experiment the evidence
2015/7/20
Savings Constraints and Microenterprise Development: Evidence from a Field Experiment in Kenya.
Determinant Maximization with Linear Matrix Inequality Constraints
Determinant Maximization Linear Matrix Inequality Constraints
2015/7/10
The problem of maximizing the determinant of a matrix subject to linear matrix inequalities arises in many fields, including computational geometry, statistics, system identification, experiment desig...
Control of Asynchronous Dynamical Systems with Rate Constraints on Events
Asynchronous dynamical systems Lyapunov theory linear matrix inequality (LMI) bilinear matrix inequality (BMI)
2015/7/10
In this paper we consider dynamical systems which are driven by events that occur asynchronously. It is assumed that the event rates are fixed, or at least they can be bounded on any time period of le...
Multi-Period Portfolio Optimization with Constraints and Transaction Costs
Multi-Period Portfolio Optimization Constraints Transaction Costs
2015/7/9
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Processor Speed Control with Thermal Constraints
Convex optimization distributed control primal-dual interior-point methods
2015/7/9
We consider the problem of adjusting speeds of multiple computer processors sharing the same thermal environment, such as a chip or multi-chip package. We assume that the speed of processor (and assoc...
Nonlinear lattices generated from harmonic lattices with geometric constraints
Harmonic the nonlinear dynamic grid model sine multiple linear matrix equation the nonlinear model
2014/12/29
Geometrical constraints imposed on higher-dimensional harmonic lattices generally lead to nonlinear dynamical lattice models. Helical lattices obtained by such a procedure are shown to be described by...
Adaptive confidence intervals for regression functions under shape constraints
Adaptation confidence interval convex function coverage probability expected length minimax estimation modulus of continuity monotone func-tion nonparametric regression shape constraint white noise model
2013/6/14
Adaptive confidence intervals for regression functions are constructed under shape constraints of monotonicity and convexity. A natural benchmark is established for the minimum expected length of conf...
Graphical methods for inequality constraints in marginalized DAGs
Graphical methods inequality constraints marginalized DAGs
2012/11/22
We present a graphical approach to deriving inequality constraints for directed acyclic graph (DAG) models, where some variables are unobserved. In particular we show that the observed distribution of...
Nonparametric instrumental regression with non-convex constraints
Nonparametric instrumental regression non-convex constraints
2012/11/21
This paper considers the nonparametric regression model with an additive error that is dependent on the explanatory variables. As is common in empirical studies in epidemiology and economics, it also ...
Testing equality of functions under monotonicity constraints
Testing equality of functions monotonicity constraints
2012/9/19
We consider the problem of testing equality of functionsf j: [0,1] →Rfor j =1,2,...,J the basis ofJindependent samples from possibly different distributions under the assumption that the functions are...
A tutorial on project management from a theory of constraints perspective
critical chain project management theory of constraints tutorial
2011/10/15
Managing projects is a difficult undertaking-a large number of projects fail to be completed on time, on budget, or to specifications. In traditional project management literature, researchers critici...
Multiscale Methods for Shape Constraints in Deconvolution
Brownian motion convexity di erential inequalities ill-posed problems
2011/7/19
We derive multiscale statistics for deconvolution in order to detect qualitative features of the unknown density. An important example covered within this framework is to test for local monotonicity o...