Ανάρτηση Ερευνητικού Δοκιμίου no 15/24

Ερευνητικό Δοκίμιο no 15/24 με τίτλο "Distributionally Conservative Stochastic Dominance via Subsampling"

του Στυλιανού Αρβανίτη

Περίληψη

This note defines distributionaly concervative versions of stochastic dominance relations based on subsampling. It presents a non-asymptotic analysis of the probability of the False Dominance (FD) error for the empirical version of the subsampling based empirical dominance procedure. The analysis is based on the generalization of the McDiarmid concentration in equality to η-mixing processes by Kontorovich and Ramanan (2008). The concentration bounds obtained depend on ”entropy” characteristics of the problem, like the Lipschitz coefficients of the utilities involved, on the FD parameters involved, as well as on the coefficients that rep resent temporal dependence at each subsample. The analysis establishes tighter concentration bounds for the conservative procedure in both stationary and non-stationary cases when the subsampling rate is appropriately chosen. 

Ο  Στυλιανός Αρβανίτης  Καθηγητής του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών.