{"title":"Noise and bias – some controversies raised by the book ‘Noise: A Flaw in Human Judgment’, written by Daniel Kahneman, Olivier Sibony, Cass R. Sunstein","authors":"M. Szreder","doi":"10.5604/01.3001.0015.8792","DOIUrl":"https://doi.org/10.5604/01.3001.0015.8792","url":null,"abstract":"The paper reviews and discusses the statistical aspects of the phenomenon called ‘noise’ which Daniel Kahneman, the Nobel Prize winning psychologist, and his colleagues present in their new book entitled ‘Noise: A Flaw in Human Judgment’. Noise is understood by the authors as an unexpected and undesirable variation present in people’s judgments. The variability of judgments influences decisions which are made on the basis of those judgments and, consequently, may have a negative impact on the operations of various institutions. This is the main concern presented and analyzed in this book. The objective of this paper is to look at the relationship between bias and noise – the two major components of the mean squared error (MSE) – from a different perspective which is absent in the book. Although the author agrees that each of the two components contributes equally to MSE, he claims that in some circumstances a reduction of noise can make accurate inference not less, but more difficult. It is justified that the actual impact of noise cannot be accurately determined without considering both bias and noise simultaneously.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129619531","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":"Extended Enders and Siklos test for threshold cointegration","authors":"M. Osińska, Maciej Gałecki","doi":"10.5604/01.3001.0015.8669","DOIUrl":"https://doi.org/10.5604/01.3001.0015.8669","url":null,"abstract":"In our previous studies, we modified the Enders and Siklos test for threshold error correction to a version allowing the individual threshold variable to be responsible for the asymmetric mechanism of the system. The idea was to learn about the threshold mechanism both in the long and short run. In this paper, we tested for the asymmetry of the adjustment of the error correction mechanism towards the long-run path. The subsamples within regimes differ in size with respect to the threshold value. The novelty lies in the division of both short and long-run variables according to a threshold variable with a given threshold value (assumed or estimated). We named the test extended Enders and Siklos test (exE-S). The present study focuses on the power and size of the modified procedure. A simulation study was designed, computed and conducted. The results are favourable for the proposed approach, although they strongly depend on the difference in values between the adjustment parameters in the regimes.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134115911","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 minimal-time growth problem and ‘very strong’ turnpike theorem","authors":"E. Panek","doi":"10.5604/01.3001.0015.7799","DOIUrl":"https://doi.org/10.5604/01.3001.0015.7799","url":null,"abstract":"This paper refers to the author's previous work, in which the ‘weak’ turnpike theorem in the stationary Gale economy was proved. This theorem states that each optimal growth process {y*(t)}t*1t=0 that leads the economy in the shortest possible time t*1 from the (initial) state of y0 to the set of target/postulated states Y1 almost always runs in the neighbourhood of the production turnpike, where the economy remains in a specific dynamic equilibrium (peak growth equilibrium). This paper presents a proof of the ‘very strong’ turnpike theorem in the stationary Gale economy, which states that if the optimal process (the solution to the minimaltime growth problem) reaches a turnpike in a certain period of time tˇ < t*1 - 1, then it stays on it everywhere else, except for, at most, final period t*1. The obtained result confirms the wellknown Samuelson hypothesis about the specific turnpike stability of optimal growth paths in multiproduct/multisectoral von Neumann-Leontief-Gale-type models, also in the case where the growth criterion is not the (normally assumed) utility of production but the time needed by the economy to achieve the postulated target level or volume of production.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129519886","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":"Comparison of methods used for filling partially unobserved contingency tables","authors":"M. Kot, B. Kamiński","doi":"10.5604/01.3001.0015.7797","DOIUrl":"https://doi.org/10.5604/01.3001.0015.7797","url":null,"abstract":"In this article, we investigate contingency tables where the entries containing small counts are unknown for data privacy reasons. We propose and test two competitive methods for estimating the unknown entries: our modification of the Iterative Proportional Fitting Procedure (IPFP), and one of the Monte Carlo Markov Chain methods called Shake-and-Bake. We use simulation experiments to test these methods in terms of time complexity and the accuracy of searching the space of feasible solutions. To simplify the estimation procedure, we propose to pre-process partially unknown contingency tables with simple heuristics and dimensionality-reduction techniques to find and fill all trivial entries. Our results demonstrate that if the number of missing cells is not very large, the pre-processing is often enough to find fillings for the unknown values in contingency tables. In the cases where simple heuristics are insufficient, the Shake-and-Bake technique outperforms the modified IPFP in terms of time complexity and the accuracy of searching the space of feasible solutions.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124629031","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":"Influence of previous experience and socioeconomic characteristics on willingness to pay for physiotherapy in Poland","authors":"Justyna Proniewicz","doi":"10.5604/01.3001.0015.7798","DOIUrl":"https://doi.org/10.5604/01.3001.0015.7798","url":null,"abstract":"The healthcare system in many countries is characterised by the co-existence of public and private medical services. Patients’ decisions regarding the purchase of private health services are made taking into account the trade-off between the price of a treatment and its quality and the waiting time. The aim of this study is to find out which factors impact the willingness to pay for health insurance or the willingness to pay for medical treatment. The study demonstrates that besides socio-demographic characteristics, some negative experiences (e.g. unavailable treatments, long waiting times, long journeys involved) and the experience of already having paid for treatments impact the willingness to pay. The results suggest that negative experiences are likely to cause a change in patients’ habits.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128210159","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}
Grzegorz Koloch, Michał Lewandowski, Marcin Zientara, Grzegorz Grodecki, Piotr Matuszak, Igor Kantorski, Adam Nowacki
{"title":"A genetic algorithm for vehicle routing in logistic networks with practical constraints","authors":"Grzegorz Koloch, Michał Lewandowski, Marcin Zientara, Grzegorz Grodecki, Piotr Matuszak, Igor Kantorski, Adam Nowacki","doi":"10.5604/01.3001.0015.5584","DOIUrl":"https://doi.org/10.5604/01.3001.0015.5584","url":null,"abstract":"We optimise a postal delivery problem with time and capacity constraints imposed on vehicles and nodes of the logistic network. Time constraints relate to the duration of routes, whereas capacity constraints concern technical characteristics of vehicles and postal operation outlets. We consider a method which can be applied to a brownfield scenario, in which capacities of outlets can be relaxed and prospective hubs identified. As a solution, we apply a genetic algorithm and test its properties both in small case studies and in a simulated problem instance of a larger (i.e. comparable with real-world instances) size. We show that the genetic operators we employ are capable of switching between solutions based on direct origin-to-destination routes and solutions based on transfer connections, depending on what is more beneficial in a given problem instance. Moreover, the algorithm correctly identifies cases in which volumes should be shipped directly, and those in which it is optimal to use transfer connections within a single problem instance, if an instance in question requires such a selection for optimality. The algorithm is thus suitable for determining hubs and satellite locations. All considerations presented in this paper are motivated by real-life problem instances experienced by the Polish Post, the largest postal service provider in Poland, in its daily plans of delivering postal packages, letters and pallets.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116474350","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":"Forecasting currency covariances using machine learning tree-based algorithms with low and high prices","authors":"Sylwester Bejger, P. Fiszeder","doi":"10.5604/01.3001.0015.5582","DOIUrl":"https://doi.org/10.5604/01.3001.0015.5582","url":null,"abstract":"We combine machine learning tree-based algorithms with the usage of low and high prices and suggest a new approach to forecasting currency covariances. We apply three algorithms: Random Forest Regression, Gradient Boosting Regression Trees and Extreme Gradient Boosting with a tree learner. We conduct an empirical evaluation of this procedure on the three most heavily traded currency pairs in the Forex market: EUR/USD, USD/JPY and GBP/USD. The forecasts of covariances formulated on the three applied algorithms are predominantly more accurate than the Dynamic Conditional Correlation model based on closing prices. The results of the analyses indicate that the GBRT algorithm is the bestperforming method.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129317699","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":"Estimation of Value-at-Risk using Weibull distribution – portfolio analysis on the precious metals market","authors":"Dominik Krężołek","doi":"10.5604/01.3001.0015.2731","DOIUrl":"https://doi.org/10.5604/01.3001.0015.2731","url":null,"abstract":"In this paper, we present a modification of the Weibull distribution for the Value-at- Risk (VaR) estimation of investment portfolios on the precious metals market. The reason for using the Weibull distribution is the similarity of its shape to that of empirical distributions of metals returns. These distributions are unimodal, leptokurtic and have heavy tails. A portfolio analysis is carried out based on daily log-returns of four precious metals quoted on the London Metal Exchange: gold, silver, platinum and palladium. The estimates of VaR calculated using GARCH-type models with non-classical error distributions are compared with the empirical estimates. The preliminary analysis proves that using conditional models based on the modified Weibull distribution to forecast values of VaR is fully justified.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114078852","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":"Substitution between production factors and intermediate inputs in the light of KLEMS growth accounting for Poland","authors":"D. Kotlewski, Mirosław Błażej","doi":"10.5604/01.3001.0015.2729","DOIUrl":"https://doi.org/10.5604/01.3001.0015.2729","url":null,"abstract":"The generally adopted view is that the gross-output-based MFP is the most correct in terms of methodology, and the value-added-based MFP is its imperfect substitute performed when some data are missing. In this paper, however, performing both of them and comparing their results is proposed as a valuable means to studying the development of outsourcing in the economy. The paper presents the elaboration of the methodology for the latter, which is its main contribution to the field. The case of the Polish economy is used as an applicative example (covering the period between 2005 and 2016), as KLEMS growth accounting has recently been implemented in Poland. The results demonstrate that around the year 2011, the expansion of outsourcing ceased. Since outsourcing was one of the main processes of the Polish transition, this observation can be considered as an indication of the maturing of the market economy in Poland. Moreover, KLEMS growth accounting makes it possible to study this issue through NACE activities, i.e. at the industry level. It shows that manufacturing (section C of NACE) is predominantly responsible for the situation described above, which is the main empirical finding of the study. The dominant role of manufacturing is also confirmed by some other sectoral observations of lesser importance. The methodology developed in this paper can potentially be applied to other countries for which both kinds of MFP are performed.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124225364","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":"How the shadow economy can be detected in National Accounts","authors":"S. Oinonen, M. Virén","doi":"10.5604/01.3001.0015.2730","DOIUrl":"https://doi.org/10.5604/01.3001.0015.2730","url":null,"abstract":"The paper examines how indicators of the shadow economy correspond to the National Accounts values. More precisely, we focus on household accounts assuming that the shadow economy should be visible in the difference between household income and consumption, as household (disposable) income is grossly underreported. Household consumption seems therefore to be a more accurate indicator in this context, as most shadow economy income is eventually spent on consumption. This implies that household savings figures should be negatively related to the values of the shadow economy; consequently, if the values relating to the shadow economy are high, savings should be low, or even negative, and vice versa. We verify this hypothesis using European cross-country data covering the years 1991–2017 with the application of MIMIC model calculations as a point of reference. The estimation results lend very little support to the hypothesis assuming that the shadow economy depresses household savings, even though we can otherwise explain comparatively well the cross-country variation in household savings and consumption growth rates.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123796734","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}