infonet-economy

Robust automatic selection techniques for the smoothing parameter of a smoothing spline are introduced. They are based on a robust predictive error criterion and can be viewed as robust versions of C p and cross-validation. They lead to smoothing splines which are stable and reliable in terms of mean squared error over a large spectrum of model distributions.

Poverty analysis often results in the computation of poverty indexes based on so-called poverty lines which can be region speci…c poverty lines. The poverty lines are made of two components, namely the amount of income to satisfy the food and the non food needs. For both components, one needs to estimate quantities such as local prices or the consummers' average basket, and this...

This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multi-factor term structure models are estimated based on historical data for the Swiss...

Income distribution embeds a large field of research subjects in economics. It is important to study how incomes are distributed among the members of a population in order for example to determine tax policies for redistribution to decrease inequality, or to implement social policies to reduce poverty. The available data come mostly from surveys (and not censuses as it is often...

With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an estimator of the parameters can be obtained in a straightforward manner. Unfortunately, it...

This paper provides a set of stochastic multistage programs where the evolvement of uncertain factors is given by stochastic processes. We treat a practical problem statement within the field of managing fixed-income securities. Detailed information on the used parameter values in various interest rate models is given. Barycentric approximation is applied to obtain computational...