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Zero Intelligence Models of the Continuous Double Auction: Empirical Evidence and Generalization
Continuous double auction zero intelligence models econometric estimation consistency asymptotic normality
2013/4/28
The paper is devoted to statistical analysis of zero intelligence models of continuous double auction, in particular to an estimation of parameters of limit order books. We review "classical" zero int...
Approximate Interval Method for Epistemic Uncertainty Propagation using Polynomial Chaos and Evidence Theory
Approximate Interval Method Epistemic Uncertainty Propagation
2011/7/19
The paper builds upon a recent approach to find the approximate bounds of a real function using Polynomial Chaos expansions.
Familiar statistical tests and estimates are obtained by the direct observation of cases of interest: a clinical trial of a new drug, for instance, will compare the drug's effects on a relevant set of...
Our three discussants fit an “ideal statistican”profile, combining deep theoretical understanding with serious scientific interests. The three essayswhich are more than commentaries on my articlerefle...
Indirect evidence is crucial for successful statistical practice. Sometimes, however, it is better used informally. Future efforts should be directed toward understanding better the connection between...
Definition of evidence fusion rules on the basis of Referee Functions
Evidence Referee Function Sampling Dempster-Shaferrule PCR6
2010/3/19
This chapter defines a new concept and framework for constructing
fusion rules for evidences. This framework is based on a referee function, which
does a decisional arbitrament conditionally to basi...
Hitting Streaks Don't Obey Your Rules：Evidence That Hitting Streaks Aren't Just By-Products of Random Variations
Hitting Streaks By-Products Random Variations
2010/3/17
Professional athletes naturally experience hot and cold streaks. However, there’s been a debate going on for some time now as to whether professional athletes experience streaks more frequently than w...
Searching for a trail of evidence in a maze
Detecting a chain of nodes in a network minimax detection Bayesian detection predictability profile of a stochastic process
2010/4/26
Consider a graph with a set of vertices and oriented edges connecting
pairs of vertices. Each vertex is associated with a random variable
and these are assumed to be independent. In this setting, su...
Consistent reasoning about a continuum of hypotheses on the basis of finite evidence
Consistent reasoning continuum of hypotheses basis of finite evidence
2010/4/29
In the modern Bayesian view classical probability theory is simply an extension of conventional
logic, i.e., a quantitative tool that allows for consistent reasoning in the presence of uncertainty.Cl...