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Tassus

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About Tassus

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    Econometrics
  1. Please see the updated version: Under what conditions can we state the following? [latex]\max_{\theta>0} F \left( \theta \right)= \int_{\rho_{min}}^{\rho_{max}} g \left( \rho \right)\pi\left(\rho,\widehat{\theta \left( \rho \right)} \right)d\rho[/latex] where, [latex]F\left ( \theta \right )=\int_{\rho_{min}}^{\rho_{max}}g\left(\rho \right )\pi\left(\rho,\theta \right)d\rho[/latex] and [latex]\widehat{\theta\left( \rho \right)}[/latex] is the argument that maximize [latex]\pi(\rho,\theta)[/latex] with respect to [latex]\theta[/latex] Let [latex]\rho_{min}=0[/latex] and [latex]\rho_{max}=1[/latex]. Assume also that [latex]g(\theta)[/latex] and [latex]\pi(\rho,\theta)[/latex] are proper unimodal densities of [latex]\rho[/latex] and the parameter [latex]\theta>0[/latex] Alternatively, we can state the problem in the following way: Determine the conditions that satisfy [latex]\max_{\theta>0} F \left( \theta \right)= \int_{0}^{1} g \left( \rho \right)\max_{\theta>0}(\pi\left(\rho,\theta \right))d\rho[/latex]
  2. Ok thank you, I hope now is fine. Please, tell me if the following statement is true or false and if it is possible give me some reference. Many Thanks. T.
  3. Please see the attached file. Many thanks, T. question_max_functional.pdf
  4. A Correction: After the 5th line (at the previous picture), replace v->+infinity with y->+infinity
  5. Thank you all for your help! So according to your comments, I sum up: see the attached picture.
  6. So, the application of this approximation to the Gamma function is independent of the number set that the argument of Gamma belongs to? i.e. wether the argument is natural or real number etc Thank you!!!
  7. Can anyone help me to find this limit? See the attached picture. Thank you.
  8. Ι think that the derivatives are the following, Is there anyone to confirm this? Assume A= A' and B=B' then φ(τ) = ln(det(τΑ+λΙ)) φ'(τ) = tr(τΑ+λΙ)-1A ψ(τ) = tr(τΑ+λΙ)-1B ψ'(τ) = tr(τΑ+λΙ)-1B(τΑ+λΙ)-1)A ψ''(τ) = -2tr(τΑ+λΙ)-1B(τΑ+λΙ)-1)A(τΑ+λΙ)-1)A
  9. I think that there must be some expressions in terms of traces, determinants and things like that, notice that in the special case where λ=0 the function φ(τ) = ln(det(τΑ))=ln(τkdet(A))=klnτ+lndet(A) so the first derivative for example is just k/τ. So for the general problem I think that it can be written in a compact convenient form, for example in case of 2x2 matrices (k=2) φ(τ)=ln(τ2det(A)+λτtr(A)+λ2) which is an expression where the derivatives can easily be derived.
  10. I hope someone could explain how to calculate the following derivatives, Assume A, B are kxk full rank matrices I is identity matrix of the same order and τ is a nonnegative scalar variable and λ real number then define the following two functions φ(τ) = ln(det(τΑ+λΙ)) ψ(τ) = tr((τΑ+λΙ)-1)B which are the first and second derivatives of φ(.) and ψ(.) w.r.t. the argument τ? A proof and/or references should be usefull. Thank you
  11. Basically what I want to do, is show that anexpression that involves traces is bounded. A is a Positive definite matrix and B is either positive definite or positivesemi definite (it depends on the assumptions of the other matrices that included in B, which I it set so for convenience). Ithink I can show it by the fact that tr(AB)>0 or tr(AB)>=0.
  12. Hi, I would like some help with this, Assume A and B nxn matrices 1. If A,B are positive definite matrices what about the sign of tr(AB)? 2. If A is positive definite and B is positive semi definite what about the sign of tr(AB)? Thanks!
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