infonet-economy

This research presents methods for detecting and isolating faults in multiple Micro-Electro-Mechanical System (MEMS) Inertial Measurement Unit (IMU) configurations. Traditionally, in the inertial technology, the task Fault Detection and Isolation (FDI) is realized by the parity space method. However, this approach performs poorly with low-cost MEMS-IMUs, although, it provides...

In this paper we develop models for the client rate and the volumes of non-maturing accounts. We test the hypothesis that movements in the client rate are dependent upon the market rates regime. We find that the responsiveness of the client rate is symmetric to changes in the short rate, but asymmetric to changes in the longer market rates. Furthermore, the speed of adjustment of the...

Electricity swing options are Bermudan-style path-dependent derivatives on electrical energy. We consider an electricity market driven by several exogenous risk factors and formulate the pricing problem for a class of swing option contracts with energy and power limits as well as ramping constraints. Efficient numerical solution of the arising multistage stochastic program requires...

Confirmatory factor analysis (CFA) is a data analysis procedure that is widely used in social and behavioral sciences in general and other applied sciences that deal with large quantities of data (variables). The underlying model links a set latent factors, that are supposed to correspond to latent concepts, to a larger set of observed (manifest) variables through linear regression...

The higher–order robustness for M–estimators is introduced and defined. The conditions needed to ensure higher stability of the asymptotic bias are provided by refining the Von Mises bias expansion. Admissible M–estimators featuring second–order robustness are thus introduced. Then, a saddle-point argument is applied in order to approximate the finite sample distribution of second–...

We approach parameter estimation based on power-divergence using Havrda-Charvat generalized entropy. Unlike other robust estimators relying on divergence measures, the procedure is fully parametric and avoids complications related to bandwidth selection. Hence, it allows for the treatment of multivariate distributions. The parameter estimator is indexed by a single constant q,...

We analyze the impacts of alternative submarket definitions when predicting house prices in a mass appraisal context, using both ordinary least squares (OLS) and geostatistical techniques. For this purpose, we use over 13,000 housing transactions for Louisville, Kentucky. We use districts defined by the local property tax assessment office as well as a classification of census tracts...