Articles scientifiques

A Contraction-free and Cut-free Sequent Calculus for Propositional Dynamic Logic

B. HILL, F. Poggiolesi

Studia Logica

2010, vol. 94, n°1, pp.1-26

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)


A Geometric Proof of Calibration

G. STOLTZ, S. Mannor

Mathematics of Operations Research

novembre 2010, vol. 35, n°4, pp.721-727

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Calibration, Approachability, Convergence rates, Computational complexity


We provide yet another proof of the existence of calibrated forecasters; it has two merits. First, it is valid for an arbitrary finite number of outcomes. Second, it is short and simple and it follows from a direct application of Blackwell's approachability theorem to a carefully chosen vector-valued payoff function and convex target set. Our proof captures the essence of existing proofs based on approachability (e.g., the proof by Foster [Foster, D. 1999. A proof of calibration via Blackwell's approachability theorem. Games Econom. Behav. 29 73–78] in the case of binary outcomes) and highlights the intrinsic connection between approachability and calibration

A Note on the Evaluation of Information in Zero-Sum Repeated Games

E. Lehrer, D. ROSENBERG

Journal of Mathematical Economics

juillet 2010, vol. 46, n°4, pp. 393–399

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Repeated games, Zero-sum games, Value-of-information


Two players play a zero-sum repeated game with incomplete information. Before the game starts one player receives a private signal that depends on the realized state of nature. The rules that govern the choice of the signal are determined by the information structure of the game. Different information structures induce different values. The value-of-information function of a game associates every information structure with the value it induces. We characterize those functions that are value-of-information functions for some zero-sum repeated game with incomplete information

Accurate and Robust Tests for Indirect Inference

V. CZELLAR, E. Ronchetti

Biometrika

septembre 2010, vol. 97, n°3, pp.621-630

Départements : Economie et Sciences de la décision


accepté le 22/03/2010In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically ?2-distributed with a relative error of order n?1. They exhibit better finite sample accuracy than classical tests for indirect inference, which have the same asymptotic distribution but an absolute error of order n?1/2. Robust versions of the tests are also provided. We illustrate their accuracy in nonlinear regression, Poisson regression with overdispersion and diffusion models. Author Keywords: Indirect inference; M-estimator; Nonlinear regression; Overdispersion; Parameter test; Robust estimator; Saddlepoint test; Sparsity; Test for over-identification

Agrégation séquentielle de prédicteursméthodologie générale et applications à la prévision de la qualité de lair et à celle de la consommation électrique

G. STOLTZ

Journal de la Société Française de Statistique

2010, vol. 151, n°2, pp.66-106

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Sequential aggregation of predictors, Prediction with expert advice, Individual sequences, Air-quality forecasting, Prediction of electricity consumption


This paper is an extended written version of the talk I delivered at the "XLe Journées de Statistique" in Ottawa, 2004, when being awarded the Marie-Jeanne Laurent-Duhamel prize. It is devoted to surveying some fundamental as well as some more recent results in the field of sequential prediction of individual sequences with expert advice. It then performs two empirical studies following the stated general methodology: the first one to air-quality forecasting and the second one to the prediction of electricity consumption. Most results mentioned in the paper are based on joint works with Yannig Goude (EDF R&D) and Vivien Mallet (INRIA), together with some students whom we co-supervised for their M.Sc. theses: Marie Devaine, Sébastien Gerchinovitz and Boris Mauricette

Contacts  

Département Economie et Sciences de la Décision

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex
France

Faculté  

Dinah ROSENBERG

Economie - Sciences de la Décision (GREGHEC)

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