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  • Asset Price and Wealth Dynamics Under Heterogeneous Expectations 
    Chiarella Carl; He Xuezhong (John Wiley and Sons Inc, 2003)
    In order to characterize asset price and wealth dynamics arising from the interaction of heterogeneous agents with CRRA utility, a discrete-time stationary model in terms of return and wealth proportions (among ...
  • Asset price dynamics in a financial market with heterogeneous trading strategies and time delays 
    Garofalo, G.; Sansone, A. (Elsevier Science, 2005)
    In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend ...
  • The asymptotic behaviour of dynamic producer-consumer systems 
    Chiarella Carl; Szidarovszky Ferenc (Elsevier, 2003)
    Dynamic Arrow-type price dynamicsarc investigated in a continuous time framework. The existence of n unique equilibrium is first proved under realistic conditions. Then, the local asymptotic stability of the equilibrium ...
  • The asymptotic behaviour of dynamic rent-seeking games 
    Szidarovszky Ferenc; Chiarella Carl (Elsevier Science, 2003)
    Dynamic rent-seeking games with nonlinear cost functions are analyzed. The local asymptotic stability of the solution is first examined. We show that in tbe absence of a dominant agent, all eigenvalues of the Jacobian ...
  • Asymptotic normality and valid inference for Gaussian variational approximation 
    Hall Peter; Pham Tung; Wand Matthew; Wang S. (Institute of Mathematical Statistics, 2011)
    We derive the precise asymptotic distributional behavior of Gaussian variational approximate estimators of the parameters in a single-predictor Poisson mixed model. These results are the deepest yet obtained concerning the ...
  • Asymptotics and optimal bandwidth selection for highest density region estimation 
    Samworth R; Wand Matt (Institute of Mathematical Statistics, 2010)
    We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HDR estimation. This ...
  • Asymptotics for general multivariate kernel density derivative estimators 
    Chacon Jose; Duong Tarn; Wand Matthew (Academia Sinica, 2011)
    We investigate kernel estimators of multivariate density derivative functions using general (or unconstrained) bandwidth matrix selectors. These density derivative estimators have been relatively less well researched than ...
  • Bankruptcy as an Exit Mechanism for Systems with a Variable Number of Components 
    Delli Gatti Domenico; Di Guilmi Corrado; Gaffeo Edoardo; Gallegati Mauro (Elsevier Science BV, 2004)
    Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are ...
  • Bayesian alignment using Hierarchical models, with applications in protein bioinformatics 
    Green Peter; Mardia Kanti (Oxford Univ Press, 2006)
    An important problem in shape analysis is to match configurations of points in space after filtering out some geometrical transformation. In this paper we introduce hierarchical models for such tasks, in which the points ...
  • Bayesian analysis for penalized spline regression using WinBUGS 
    Crainiceanu Ciprian; Ruppert David; Wand Matt (American Statistical Association, 2005)
    Penalized splines can be viewed as BLUPs in a mixed model framework, which allows the use of mixed model software for smoothing. Thus, software originally developed for Bayesian analysis of mixed models can be used for ...
  • Bayesian Analysis of Constant Elasticity of Variance Models 
    Chan, J. S; Choy, S.; Lee, A. (American Chemical Society, 2007)
  • Bayesian Estimation of State-Space Models Using Metropolis-Hastings Algorithm with Gibbs Sampling 
    Geweke John; Tanizaki Hisashi (Elsevier, 2001)
    Abstract: In this paper, an attempt is made to show a general solution to nonlinear and/or non-Gaussian state-space modeling in a Bayesian framework, which corresponds to an extension of Carlin et al. (J. Amer. Statist. ...
  • A Bayesian hierarchical model for photometric red shifts 
    Hurn M; Green Peter; Al-Awadhi F (Blackwell Publishing, 2008)
    The Sloan digital sky survey is an extremely large astronomical survey that is conducted with the intention of mapping more than a quarter of the sky. Among the data that it is generating are spectroscopic and photometric ...
  • Bayesian model-based clustering procedures 
    Lau Jw; Green Peter (Amer Statistical Assoc, 2006)
    This paper establishes a general framework for Bayesian model-based clustering, in which subset labels are exchangeable, and items are also exchangeable, possibly up to covariate e®ects. It is rich enough to encompass a ...
  • Bayesian refinement of protein functional site matching 
    Mardia Kanti; Nyirongo Vysaul; Green Peter; Gold Nicola; Westhead David (Biomed Central Ltd, 2007)
    Background: Matching functional sites is a key problem for the understanding of protein function and evolution. The commonly used graph theoretic approach, and other related approaches, require adjustment of a matching ...
  • Bayesian variable selection in logistic regression: predicting company earnings direction 
    Bird Ronald; Gerlach Richard; Hall Anthony (Blackwell Publishing, 2003)
    This paper presents a Bayesian technique for the estimation of a logistic regression model including variable selection. As in Ou & Penman (1989), the model is used to predict the direction of company earnings, one year ...
  • A behavioral asset pricing model with a time-varying second moment 
    He Xuezhong; Wang Duo; Chiarella Carl (Elsevier, 2005)
    We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted ...
  • A benchmark approach to finance 
    Platen Eckhard (Blackwell Publishing Asia, 2005)
    This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling, and risk measurement. It is based on the natural assumption that investors prefer more rather than less, in the ...
  • BGX: A fully Bayesian integrated approach to the analysis of affymetrix genechip data 
    Hein Anne-Mette; Richardson Sylvia; Causton Helen; Ambler Graeme; Green Peter (Oxford Univ Press, 2005)
    We present Bayesian hierarchical models for the analysis of Affymetrix GeneChip data. The approach we take differs from other available approaches in two fundamental aspects. Firstly, we aim to integrate all processing ...
  • Bifurcation Control Of Subsynchronous Resonance Using Tcsc 
    Alomari Majdi; Zhu Jianguo (Elsevier Science Bv, 2011)
    This paper presents the use of Thyristor-Controlled Series Capacitor (TCSC) to control bifurcations of subsynchronous resonance (SSR) in multimachine power system. The modified second system of the IEEE second benchmark ...