H. A. David Lecture
| Date/Time: | Monday, 19 Mar 2012 from 4:10 pm to 5:00 pm |
|---|---|
| Location: | Snedecor 3105 |
| Cost: | None |
| URL: | www.stat.iastate.edu |
| Contact: | Jeanette La Grange |
| Phone: | 515-294-3440 |
| Channel: | College of Liberal Arts and Sciences |
| Categories: | Academic calendar Lectures |
| Actions: | Download iCal/vCal | Email Reminder |
We introduce three probability models for ordered data viewing them as (i) order statistics,
(ii) record values, and (iii) order statistics and their concomitants. Applications of spacings of order statistics to auction theory and actuarial science will be illustrated with two examples: (a) properties of expected rent in regular and reverse auctions and (b) finding approximation to finite-time ruin probabilities for a company with large initial reserves. The problem of estimating mobility rates in search models using record value theory will be discussed. We will see how the concept of concomitants of order statistics can be used to model data-snooping biases in tests of financial asset pricing models. Finally we will discuss some recent and ongoing work on concomitants of order statistics.