Extreme value analysis within a parametric outlier detection framework

Threshold selection is a key aspect in extreme values analysis, especially when the sample size is small. The main idea underpinning this work is that extreme observations are assumed to be outliers of a specified parametric model. We propose a threshold selection method based on outlier detection using a suitable measure of surprise. Copyright © 2006 John Wiley & Sons, Ltd.     

On the joint characterization of the distributions of the true income and the proportion of the reported income to the true income through a model of under-reported incomes

In this note, we assume that the reported income is related to the true income by the so-called ‘error-in-variables’ model, a model which assumes that the observed incomes are under-reported. In the context of this model, the distribution of the reported income suitably truncated below coincides with that of the true income, and suitable truncated above with that of the random proportion of the reported income to the true income if, and only if, the distribution of the true income is Pareto and that of the proportion is of the power function form.     

Direct Method Comparing Efficient and Nonefficient Payoffs in Differential Games

In this note, we present a method that allows us to decide when a Markov-perfect Nash equilibrium is not Pareto optimum, without the explicit knowledge of the respective solutions. For that purpose, we establish a sufficient condition in terms of an algebraic inequality where the gradient of the value functions of the cooperative and noncooperative games as well as the state and control variables are involved.     

Estimating the Mean of Heavy-Tailed Distributions

An asymptotically normally distributed estimate for the expected value of a positive random variable with infinite variance is introduced. Its behavior relative to estimation using the sample mean is investigated by simulations. An example of how to apply the estimate to file-size measurements on Internet traffic is also shown.     

Nonempty Intersection Theorems and Generalized Multi-objective Games in Product <Emphasis Type="Italic">FC</Emphasis>-Spaces

A new class of generalized multi-objective games is introduced and studied in FC-spaces where the number of players may be finite or infinite, and all payoff are all set-valued mappings and get their values in a topological space. By using an existence theorems of maximal elements for a family of set-valued mappings in product FC-spaces due to author, some new nonempty intersection theorems for a family of set-valued mappings are first proved in FC-spaces. As applications, some existence theorems of weak Pareto equilibria for the generalized multi-objective games are established in noncompact FC-spaces. These theorems improve, unify and generalize the corresponding results in recent literatures.     

On First Order Optimality Conditions for Vector Optimization

We develop first order optimality conditions for constrained vector optimization. The partial orders for the objective and the constraints are induced by closed and convex cones with nonempty interior. After presenting some well known existence results for these problems, based on a scalarization approach, we establish necessity of the optimality conditions under a Slater-like constraint qualification, and then sufficiency for the K-convex case. We present two alternative sets of optimality conditions, with the same properties in connection with necessity and sufficiency, but which are different with respect to the dimension of the spaces to which the dual multipliers belong. We introduce a duality scheme, with a point-to-set dual objective, for which strong duality holds. Some examples and open problems for future research are also presented,     

Measure of stability for a finite cooperative game with a parametric optimality principle (from Pareto to Nash)

A finite cooperative game in normal form is considered. Its optimality principle is specified with the help of a parameter such that Pareto optimality and Nash equilibrium correspond to two extreme parameter values. The limiting level of perturbations in the coefficients of payoff functions that do not give rise to new efficient situations is studied.     

Characterization and statistical test using truncated expectations for a class of skew distributions

The expectation of left truncated Waring and Pareto distributions is a linear function of the point of truncation. Based on this property, a characterization theorem and statistical tests can be constructed.     

Optimality conditions in multiobjective differentiable programming

A theorem stated in Ref. 1 is corrected.