{"title":"Copula model selection using image recognition","authors":"A. Tsanakas, Rui Zhu","doi":"10.2139/ssrn.3951401","DOIUrl":"https://doi.org/10.2139/ssrn.3951401","url":null,"abstract":"The choice of a copula model from limited data is a hard but important task. Motivated by the visual patterns that different copula models produce in smoothed density heatmaps, we consider copula model selection as an image recognition problem. We extract image features from heatmaps using the pre-trained AlexNet, and present workflows for model selection that combine image features with statistical information. We employ dimension reduction via Principal Component and Linear Discriminant Analyses, and use a Support Vector Machine classifier. Simulation studies show that the use of image data improves the accuracy of the copula model selection task, particularly in scenarios where sample sizes and correlations are low. This finding indicates that transfer learning can support statistical procedures of model selection.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128883864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Statistical Methods Used for Identification of Art Prices Determinants","authors":"Joanna Białynicka-Birula","doi":"10.2139/ssrn.3840721","DOIUrl":"https://doi.org/10.2139/ssrn.3840721","url":null,"abstract":"The paper deals with the problem of determinants of the auction prices of the works of art. A special<br>attention is given to the attributes of works of art i.e.: the name of artist, time of creation, format (size), theme, technique, signature and their influence on the level of auction prices. The author of the paper uses statistical methods to verify empirically the relationship between variables. The dependences have been explained by implementation of three methods ie.: analysis of variance ANOVA, multiple regression models and classification trees, with the use of the computer program STATISTICA. The analysis is based on the cross-section data on art auction results of several<br>auction sessions in Poland. The empirical studies have shown that name of artist, year of creation and technique determine the auction prices of works of art. The influence of technique and signature is not important statistically.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123504672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Cross-section of Long-run Expected Stock Returns","authors":"P. Geertsema, Helen Lu","doi":"10.2139/ssrn.3774548","DOIUrl":"https://doi.org/10.2139/ssrn.3774548","url":null,"abstract":"Abstract We predict cumulative stock returns over horizons from 1 month to 10 years using a tree-based machine learning approach. Cumulative stock returns are significantly predictable in the cross-section over all horizons. A hedge portfolio generates 250 bp/month at a 1 year horizon and 110 bp/month at a 10 year horizon. Individual stock returns are significantly predictable at all horizons in panel data. Cashflow and momentum related predictors are mostly important at shorter horizons while dividend yield and value related predictors are more important at longer horizons. By contrast, variables related to turnover and volatility are influential at all horizons.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127967692","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Crash Course in Good and Bad Controls","authors":"Carlos Cinelli, A. Forney, J. Pearl","doi":"10.2139/ssrn.3689437","DOIUrl":"https://doi.org/10.2139/ssrn.3689437","url":null,"abstract":"Many students, especially in econometrics, express frustration with the way a problem known as “bad control” is evaded, if not mishandled, in the traditional literature. The problem arises when the addition of a variable to a regression equation produces an unintended discrepancy between the regression coefficient and the effect that the coefficient is expected to represent. Avoiding such discrepancies presents a challenge not only to practitioners of econometrics, but to all analysts in the data intensive sciences. This note describes graphical tools for understanding, visualizing, and resolving the problem through a series of illustrative examples. We have found that the examples presented here can serve as a powerful instructional device to supplement formal discussions of the problem. By making this “crash course” accessible to instructors and practitioners, we hope to avail these tools to a broader community of scientists concerned with the causal interpretation of regression models.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126792298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Обзор методов выбора модели на основе информационных критериев (Overview of Model Selection Methods Based on Information Criteria)","authors":"Anton Skrobotov","doi":"10.2139/ssrn.3595997","DOIUrl":"https://doi.org/10.2139/ssrn.3595997","url":null,"abstract":"<b>Russian Abstract:</b> В данной работе приводится обзор методов выбора моделей на основе информационных критериев. Рассматриваются различные типы нестационарных моделей с единичным корнем и коинтеграцией и с нестационарной волатильностью.<br><br><b>English Abstract:</b> This paper propose the review of the model selection approaches based on information criteria. Different types of non-stationary modelas with unit root, cointegration and non-stationary volatility are considered.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130559596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Inferring Complementarity from Correlations rather than Structural Estimation","authors":"Alessandro Iaria, Ao Wang","doi":"10.2139/ssrn.3498402","DOIUrl":"https://doi.org/10.2139/ssrn.3498402","url":null,"abstract":"According to the Hicksian criterion, two products are complements if their (compensated) cross-price elasticity is negative. While attractive in theory, the implementation of the Hicksian criterion can be hard: computing elasticities requires the estimation of structural models allowing for both complementarity and substitutability. Here, we instead investigate the correlation criterion, whose implementation only requires the comparison of observed market shares. We show that, in a large class of non-parametric models, the correlation criterion satisfies all the axioms by Manzini et al. (2018) and how, in mixed logit models, it can be used to learn about the Hicksian criterion.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"601 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123188900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Does Obamacare Care? A Fuzzy Difference-in-Discontinuities Approach","authors":"Hector Galindo-Silva, N. Somé, Guy Tchuente","doi":"10.2139/ssrn.3301047","DOIUrl":"https://doi.org/10.2139/ssrn.3301047","url":null,"abstract":"This paper explores the use of fuzzy regression-discontinuity design in the context where multiple treatments are applied at the threshold. The identification result shows that, under a very strong assumption of equality of treatment probability changes at the cutoff point, a difference in fuzzy discontinuity identify a treatment effect of interest. Using the data from the National Health Interview Survey (NHIS), we apply this identification strategy to evaluate the causal effect of the Affordable Care Act (ACA) on health care access and utilization of old Americans. We find results suggesting that the implementation of the Affordable Care Act has led to an increase in the hospitalization rate of elderly American--5% more hospitalization. It has caused a minor increase of cost-related direct barrier to access to care--3.6% increase in the probability of delaying care for cost reasons. The ACA has also exacerbated cost-related barriers to follow-up and continuity care -- 7% more elderly couldn't afford prescriptions, 7% more couldn't see a specialist and, 5.5% more couldn't afford a follow-up visit -- as result of ACA","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124627832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Comparative Study of DEA-SFA for Industry-level in China","authors":"Zhen Kang, Tae-hwang Kim","doi":"10.16980/jitc.14.3.201806.17","DOIUrl":"https://doi.org/10.16980/jitc.14.3.201806.17","url":null,"abstract":"This paper aims to make a comparative analysis between Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA) based efficiency scores and decomposed TFP (Total Factor Productivity) index, which are estimated from constructed industry-level data in China from 1985 to 2014. On one hand, the results are that DEA and SFA efficiency scores appear positively correlated and estimated TFP growth is in similar shape. On the other hand, for industry-level productivity in China, we found that according to the SFA, the estimation of TFP change and all decomposed elements showed a less noisy and much smoother shape when compared to DEA. The paper concludes that for an analysis of TFP of Chinese industry, the methodology of an SFA is more effective in explaining the changes and impacts as compared to the DEA. Since most of China’s industry level productivity studies have been done using DEA, we expect different and more practically significant results for future inter-industry studies. In this context, this paper would contribute to develop analytic methodology of China’s industry level productivity studies.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133834524","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Dynamic Assortment Planning Without Utility Parameter Estimation","authors":"Xi Chen, Yining Wang, Yuanshuo Zhou","doi":"10.2139/ssrn.3133401","DOIUrl":"https://doi.org/10.2139/ssrn.3133401","url":null,"abstract":"We study a family of stylized dynamic assortment planning problems, where for each arriving customer, the seller offers an assortment of substitutable products and customer makes the purchase among offered products according to a discrete choice model. This paper considers two popular choice models --- the multinominal logit model (MNL) and nested logit model. Since all the utility parameters of customers are unknown, the seller needs to simultaneously learn customers' choice behavior and make dynamic decisions on assortments based on the current knowledge. The goal of the seller is to maximize the expected revenue, or equivalently, to minimize the worst-case expected regret. Although dynamic assortment planning problem has received an increasing attention in revenue management, most existing policies require the estimation of mean utility for each product and the final regret usually involves the number of products N. However, when the number of products N is large as compared to the horizon length T, the accurate estimation of mean utilities is extremely difficult. To deal with the large N case that is natural in many online applications, we propose new policies which completely avoid estimating the utility parameter for each product; and thus our regret is independent of N. In particular, for MNL model, we develop a dynamic trisection search algorithm that achieves the optimal regret (up to a log-factor). For nested logit model, we propose a lower and upper confidence bound algorithm with an aggregated estimation. There are two major advantages of the proposed policies. First, the regret of all our policies has no dependence on N. Second, our policies are almost assumption free: there is no assumption on mean utility nor any \"separability'' condition on the expected revenues for different assortments. We also provide numerical results to demonstrate the empirical performance of the proposed methods.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132736460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"An Infinite Number of Techniques, One Linear Wage Curve","authors":"R. Vienneau","doi":"10.2139/ssrn.3082908","DOIUrl":"https://doi.org/10.2139/ssrn.3082908","url":null,"abstract":"This note demonstrates that the special case condition, needed for a simple labor theory of value (LTV), of equal organic compositions of capital does not suffice to determine technology. A model of the production of commodities, with circulating capital and all commodities basic, is analyzed. Given direct labor coefficients and labor values, an uncountably infinite number of Leontief input-output matrices yield the same wage curve under the conditions in which prices of production are proportional to labor values.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121188629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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