Applications of random set theory in econometrics

In recent years, the econometrics literature has shown a growing interest in the study of partially identified models, in which the object of economic and statistical interest is a set rather than a point. The characterization of this set and the development of consistent estimators and inference procedures for it with desirable properties are the main goals of partial identification analysis. This review introduces the fundamental tools of the theory of random sets, which brings together elements of topology, convex geometry, and probability theory to develop a coherent mathematical framework to analyze random elements whose realizations are sets. It then elucidates how these tools have been fruitfully applied in econometrics to reach the goals of partial identification analysis.

Statistical inference for the optimal approximating model

In the setting of high-dimensional linear models with Gaussian noise, we investigate the possibility of confidence statements connected to model selection. Although there exist numerous procedures for adaptive (point) estimation, the construction of adaptive confidence regions is severely limited (cf. Li in Ann Stat 17:1001–1008, 1989). The present paper sheds new light on this gap. We develop exact and adaptive confidence regions for the best approximating model in terms of risk. One of our constructions is based on a multiscale procedure and a particular coupling argument. Utilizing exponential inequalities for noncentral χ2-distributions, we show that the risk and quadratic loss of all models within our confidence region are uniformly bounded by the minimal risk times a factor close to one.

A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.

Evolutionary demography of long-lived monocarpic perennials: a time-lagged integral projection model

1. The evolution of flowering strategies (when and at what size to flower) in monocarpic perennials is determined by balancing current reproduction with expected future reproduction, and these are largely determined by size-specific patterns of growth and survival. However, because of the difficulty in following long-lived individuals throughout their lives, this theory has largely been tested using short-lived species (< 5 years). 2. Here, we tested this theory using the long-lived monocarpic perennial Campanula thyrsoides which can live up to 16 years. We used a novel approach that combined permanent plot and herb chronology data from a 3-year field study to parameterize and validate integral projection models (IPMs). 3. Similar to other monocarpic species, the rosette leaves of C. thyrsoides wither over winter and so size cannot be measured in the year of flowering. We therefore extended the existing IPM framework to incorporate an additional time delay that arises because flowering demography must be predicted from rosette size in the year before flowering. 4. We found that all main demographic functions (growth, survival probability, flowering probability and fecundity) were strongly size-dependent and there was a pronounced threshold size of flowering. There was good agreement between the predicted distribution of flowering ages obtained from the IPMs and that estimated in the field. Mostly, there was good agreement between the IPM predictions and the direct quantitative field measurements regarding the demographic parameters lambda, R-0 and T. We therefore conclude that the model captures the main demographic features of the field populations. 5. Elasticity analysis indicated that changes in the survival and growth function had the largest effect (c. 80%) on lambda and this was considerably larger than in short-lived monocarps. We found only weak selection pressure operating on the observed flowering strategy which was close to the predicted evolutionary stable strategy. 6. Synthesis. The extended IPM accurately described the demography of a long-lived monocarpic perennial using data collected over a relatively short period. We could show that the evolution of flowering strategies in short- and long-lived monocarps seem to follow the same general rules but with a longevity-related emphasis on survival over fecundity.

Choosing a random distribution with prescribed risks

We describe several simulation algorithms that yield random probability distributions with given values of risk measures. In case of vanilla risk measures, the algorithms involve combining and transforming random cumulative distribution functions or random Lorenz curves obtained by simulating rather general random probability distributions on the unit interval. A new algorithm based on the simulation of a weighted barycentres array is suggested to generate random probability distributions with a given value of the spectral risk measure.

The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time

A characterization is provided for the von Mises–Fisher random variable, in terms of first exit point from the unit hypersphere of the drifted Wiener process. Laplace transform formulae for the first exit time from the unit hypersphere of the drifted Wiener process are provided. Post representations in terms of Bell polynomials are provided for the densities of the first exit times from the circle and from the sphere.

Massive Boson Production at Small qT in Soft-Collinear Effective Theory

We study the differential cross sections for electroweak gauge-boson and Higgs production at small and very small transverse-momentum qT. Large logarithms are resummed using soft-collinear effective theory. The collinear anomaly generates a non-perturbative scale q⁎, which protects the processes from receiving large long-distance hadronic contributions. A numerical comparison of our predictions with data on the transverse-momentum distribution in Z-boson production at the Tevatron and LHC is given.

Voter Participation in the 1998 Bundestag Elections: A Theoretical Modification and Empirical Application of Downs’ Theory of Voter Participation

This article seeks to contribute to the illumination of the so-called 'paradox of voting' using the German Bundestag elections of 1998 as an empirical case. Downs' model of voter participation will be extended to include elements of the theory of subjective expected utility (SEU). This will allow a theoretical and empirical exploration of the crucial mechanisms of individual voters' decisions to participate, or abstain from voting, in the German general election of 1998. It will be argued that the infinitely low probability of an individual citizen's vote to decide the election outcome will not necessarily reduce the probability of electoral participation. The empirical analysis is largely based on data from the ALLBUS 1998. It confirms the predictions derived from SEU theory. The voters' expected benefits and their subjective expectation to be able to influence government policy by voting are the crucial mechanisms to explain participation. By contrast, the explanatory contribution of perceived information and opportunity costs is low.

Neutral biodiversity theory can explain the imbalance of phylogenetic trees but not the tempo of their diversification

Numerous evolutionary studies have sought to explain the distribution of diversity across the limbs of the tree of life. At the same time, ecological studies have sought to explain differences in diversity and relative abundance within and among ecological communities. Traditionally, these patterns have been considered separately, but models that consider processes operating at the level of individuals, such as neutral biodiversity theory (NBT), can provide a link between them. Here, we compare evolutionary dynamics across a suite of NBT models. We show that NBT can yield phylogenetic tree topologies with imbalance closely resembling empirical observations. In general, metacommunities that exhibit greater disparity in abundance are characterized by more imbalanced phylogenetic trees. However, NBT fails to capture the tempo of diversification as represented by the distribution of branching events through time. We suggest that population-level processes might therefore help explain the asymmetry of phylogenetic trees, but that tree shape might mislead estimates of evolutionary rates unless the diversification process is modeled explicitly.

Are cryptic host species also cryptic to parasites? Host specificity and geographical distribution of acanthocephalan parasites infecting freshwater Gammarus

Many parasites infect multiple host species. In coevolving host–parasite interactions, theory predicts that parasites should be adapted to locally common hosts, which could lead to regional shifts in host preferences. We studied the interaction between freshwater Gammarus (Crustacea, Amphipoda) and their acanthocephalan parasites using a large-scale field survey and experiments, combined with molecular identification of cryptic host and parasite species. Gammarus pulex is a common host for multiple species of Acanthocephala in Europe but, in Switzerland, is less common than two cryptic members of the Gammarus fossarum species complex (type A and type B). We found that natural populations of these cryptic species were frequently infected by Pomphorhynchus tereticollis and Polymorphus minutus. Four additional parasite species occurred only locally. Parasites were more common in G. fossarum type B than in type A. Infection experiments using several host and parasite sources confirmed consistently lower infection rates in G. pulex than in G. fossarum type A, suggesting a general difference in susceptibility between the two species. In conclusion, we could show that cryptic host species differ in their interactions with parasites, but that these differences were much less dramatic than differences between G. fossarum (type A) and G. pulex. Our data suggest that the acanthocephalans in Switzerland have adapted to the two most common Gammarus species in this region where host species frequencies differ from near-by regions in Europe.

Uniqueness of the Embedding Continuous Convolution Semigroup of a Gaussian Probability Measure on the Affine Group and an Application in Mathematical Finance

Let {μ(i)t}t≥0 ( i=1,2 ) be continuous convolution semigroups (c.c.s.) of probability measures on Aff(1) (the affine group on the real line). Suppose that μ(1)1=μ(2)1 . Assume furthermore that {μ(1)t}t≥0 is a Gaussian c.c.s. (in the sense that its generating distribution is a sum of a primitive distribution and a second-order differential operator). Then μ(1)t=μ(2)t for all t≥0 . We end up with a possible application in mathematical finance.