عنوان

Random sets in econometrics /

(Number (ISBN

1107121205

(Number (ISBN

110754873X

(Number (ISBN

9781107121201

(Number (ISBN

9781107548732

Erroneous ISBN

9781108650748 (PDF ebook)

Title Proper

Random sets in econometrics /

General Material Designation

[Book]

First Statement of Responsibility

Ilya Molchanov, Francesca Molinari.

Place of Publication, Distribution, etc.

New York, NY :

Name of Publisher, Distributor, etc.

Cambridge University Press,

Date of Publication, Distribution, etc.

2018.

Date of Publication, Distribution, etc.

©2018

Specific Material Designation and Extent of Item

xvii, 178 pages :

Other Physical Details

illlustrations ;

Dimensions

23 cm.

Series Title

Econometric Society monographic series ;

Volume Designation

60

Text of Note

Includes bibliographical references and index.

Text of Note

1. Basic concepts of random sets -- Random closed sets -- Hitting probabilities and the capacity functional -- Other functionals generated by random sets -- Capacities in game theory and economics -- 2. Selections -- Selections and measurability -- Characterization of selections -- Selections in econometrics: basic applications -- Adding extra structures to selections in econometrics -- 3. Expectation of random sets -- Selection expectation -- Support function and expectation -- Existence of selections with given moments -- Selection expectation in partial identification -- Other definitions of expectations -- 4. Limit theorems for Minkowski sums -- Minkowski addition -- Law of large numbers -- Central limit theorem -- Interference for the selection expectation -- Applications in partial identification -- Heavy tails -- 5. Estimation and inference -- Analysis basd on the empirical capacity functional -- Analysis based on inequalities involving other functionals -- Applications in partial identification -- Stationary random sets.

0

Text of Note

Random set theory is a fascinating branch of mathematics that amalgamates techniques from topology, convex geometry, and probability theory. Social scientists routinely conduct empirical work with data and modelling assumptions that reveal a set to which the parameter of interest belongs, but not its exact value. Random set theory provides a coherent mathematical framework to conduct identification analysis and statistical inference in this setting and has become a fundamental tool in econometrics and finance. This is the first book dedicated to the use of the theory in econometrics, written to be accessible for readers without a background in pure mathematics. Molchanov and Molinari define the basics of the theory and illustrate the mathematical concepts by their application in the analysis of econometric models. The book includes sets of exercises to accompany each chapter as well as examples to help readers apply the theory effectively.

International Standard Book Number

9781108650748

Econometrics.

Random sets.

Econometrics.

Random sets.

Number

Edition

Class number

Book number

Molchanov, Ilya S.,1962-

Molinari, Francesca

Date of Transaction

20200822145934.0

Cataloguing Rules (Descriptive Conventions))

rda

Electronic name

[Book]

Y