In the estimation of a multivariate normal mean, it is shown that the problem of deriving shrinkage estimators improving on the maximum likelihood estimator can be reduced to that of solving an integral inequality. The integral inequality not only provides a more general condition than a conventional differential inequality studied in the literature, but also handles non-differentiable or discontinuous estimators. The paper also gives general conditions on prior distributions such that the resulting generalized Bayes estimators are minimax. Finally, a simple proof for constructing a class of estimators improving on the James-Stein estimator is given based on the integral expression of the risk.
{"title":"Integral Inequality for Minimaxity in the Stein Problem","authors":"T. Kubokawa","doi":"10.14490/JJSS.39.155","DOIUrl":"https://doi.org/10.14490/JJSS.39.155","url":null,"abstract":"In the estimation of a multivariate normal mean, it is shown that the problem of deriving shrinkage estimators improving on the maximum likelihood estimator can be reduced to that of solving an integral inequality. The integral inequality not only provides a more general condition than a conventional differential inequality studied in the literature, but also handles non-differentiable or discontinuous estimators. The paper also gives general conditions on prior distributions such that the resulting generalized Bayes estimators are minimax. Finally, a simple proof for constructing a class of estimators improving on the James-Stein estimator is given based on the integral expression of the risk.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132044844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach. In particular, a high-order expansion scheme for general multi-dimensional diffusion processes is effectively applied. Moreover, the paper combines a static hedging method with the asymptotic expansion method for pricing barrier options. Finally, numerical examples show that the fourth or fifth-order asymptotic expansion scheme provides sufficiently accurate approximations under the lambda-SABR and SABR models.
{"title":"Pricing Barrier and Average Options Under Stochastic Volatility Environment","authors":"Kenichiro Shiraya, Akihiko Takahashi, M. Toda","doi":"10.2139/SSRN.1491937","DOIUrl":"https://doi.org/10.2139/SSRN.1491937","url":null,"abstract":"This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach. In particular, a high-order expansion scheme for general multi-dimensional diffusion processes is effectively applied. Moreover, the paper combines a static hedging method with the asymptotic expansion method for pricing barrier options. Finally, numerical examples show that the fourth or fifth-order asymptotic expansion scheme provides sufficiently accurate approximations under the lambda-SABR and SABR models.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126571985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2007-09-01DOI: 10.4324/9780203067611-13
Masayuki Tanimoto
The argument of "labour intensive industrialization" in East Asia, which has been raised by Kaoru Sugihara and Kenneth Pomeranz, seems to rest on the "peasant economy" as a concept. In deed, the plural employment strategy of peasant household has often been regarded as the typical examples of the "industrious" behaviour that characterizes "labour-intensive industrialization". In other words, the argument has emphasized the agrarian bases of the "labour-intensive industrialization" in East Asia. The notion of industrialization, however, intrinsically implies the process of de-agriculturization. How can we extend the notion of "labour-intensive industrialization" originally based in an agrarian setting to the non-agrarian sphere? The paper explores this question by analyzing the foundation of the small scale industries in 19th and 20th century Japan, during the transformation of the economy's base from peasant economy to urban agglomeration. The weaving and the export-oriented "miscellaneous" industries, particularly toy industry, will exemplify the argument. Besides the centralized factory system, the development of the dispersed production system based on the household economy including a certain level of skill formation played the significant role in the industries. Reiterating the relatively high proportion of small and medium enterprises in the industrial organization, as well as the high self-employment rate among the working population in the contemporary Japan, the analysis is expected to show an another path of industrialization in East Asia.
{"title":"From Peasant Economy to Urban Agglomeration : The Transformation of 'Labour-intensive Industrialization'in Modern Japan","authors":"Masayuki Tanimoto","doi":"10.4324/9780203067611-13","DOIUrl":"https://doi.org/10.4324/9780203067611-13","url":null,"abstract":"The argument of \"labour intensive industrialization\" in East Asia, which has been raised by Kaoru Sugihara and Kenneth Pomeranz, seems to rest on the \"peasant economy\" as a concept. In deed, the plural employment strategy of peasant household has often been regarded as the typical examples of the \"industrious\" behaviour that characterizes \"labour-intensive industrialization\". In other words, the argument has emphasized the agrarian bases of the \"labour-intensive industrialization\" in East Asia. The notion of industrialization, however, intrinsically implies the process of de-agriculturization. How can we extend the notion of \"labour-intensive industrialization\" originally based in an agrarian setting to the non-agrarian sphere? The paper explores this question by analyzing the foundation of the small scale industries in 19th and 20th century Japan, during the transformation of the economy's base from peasant economy to urban agglomeration. The weaving and the export-oriented \"miscellaneous\" industries, particularly toy industry, will exemplify the argument. Besides the centralized factory system, the development of the dispersed production system based on the household economy including a certain level of skill formation played the significant role in the industries. Reiterating the relatively high proportion of small and medium enterprises in the industrial organization, as well as the high self-employment rate among the working population in the contemporary Japan, the analysis is expected to show an another path of industrialization in East Asia.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"66 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123239702","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The growing trend of collaborative RD but it has increased between 1991 and 2004, especially in the case of collaboration between firms and universities. Second, RD however, it is not possible to clearly identify if one theoretical hypothesis is better supported by the facts.
{"title":"Collaborative R&D in the robot technology in Japan: an inquiry based on patent data analysis (1991-2004)","authors":"S. Lechevalier, Yukio Ikeda, J. Nishimura","doi":"10.2139/ssrn.3146982","DOIUrl":"https://doi.org/10.2139/ssrn.3146982","url":null,"abstract":"The growing trend of collaborative RD but it has increased between 1991 and 2004, especially in the case of collaboration between firms and universities. Second, RD however, it is not possible to clearly identify if one theoretical hypothesis is better supported by the facts.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114925101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2006-10-01DOI: 10.4337/9781848446021.00012
M. Aoki
This paper uses novel growth models composed of clusters of heterogeneous agents,and shows that limiting behavior of one-and two-parameter Poisson-Dirichlet models are qualitatively very different. As model sizes grow unboundedly, the coefficients of variations of extensive variables, such as the number of total clusters, and the numbers of clusters of specified sizes all approach zero in the one-parameter models, but not in the two-parameter models. In the calculations of the coefficients of variations Mittag-Le?er distributions arise naturally. We show that the distributions of the numbers of the clusters in the models havepower-lawbehavior.
{"title":"Growth Patterns of Two Types of Macro-Models: Limiting Behavior of One-and Two-Parameter Poisson-Dirichlet Models","authors":"M. Aoki","doi":"10.4337/9781848446021.00012","DOIUrl":"https://doi.org/10.4337/9781848446021.00012","url":null,"abstract":"This paper uses novel growth models composed of clusters of heterogeneous agents,and shows that limiting behavior of one-and two-parameter Poisson-Dirichlet models are qualitatively very different. As model sizes grow unboundedly, the coefficients of variations of extensive variables, such as the number of total clusters, and the numbers of clusters of specified sizes all approach zero in the one-parameter models, but not in the two-parameter models. In the calculations of the coefficients of variations Mittag-Le?er distributions arise naturally. We show that the distributions of the numbers of the clusters in the models havepower-lawbehavior.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"208 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115902443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Public Debt and Economic Growth in an Aging Japan","authors":"Toshihiro Ihori, R. Kato, M. Kawade, S. Bessho","doi":"10.1057/9781137001566_3","DOIUrl":"https://doi.org/10.1057/9781137001566_3","url":null,"abstract":"","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131347743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Many Americans picture the Allied (i.e., U.S.) Occupation of Japan (1945-52) as the quintessentially good occupation: elaborately planned in advance, idealistically administered until derailed by anti-Communist indeologues in its later years, it laid the foundation for Japan's post-War democracy and prosperity. In fact, the Americans -- especially those Americans celebrated as most "idealist" -- did not plan a Japanese recovery, and for the first several years did not work for one. Instead, they mostly just planned retribution: whom to hang, and which firms to shutter. Economic issues they entrusted to Japanese bureaucrats, and those bureaucrats merely manipulated the controls they had used to disastrous effect during the War. Coming from a New Deal background in Washington, the Americans enthusiastically urged them on. Although the Japanese economy did grow, it did not grow because of the Occupation. It grew in spite of it. In early 1949, Japanese voters overwhelmingly rejected the political parties offering economic controls. In their stead, they elected center-right politicians offering a non-interventionist platform. These politicians then dismantled the controls, and (despite strong opposition from New Deal bureaucrats in the Occupation) imposed a largely non-interventionist framework. As a result of that choice -- and not as result of anything the Occupation did -- the Japanese economy grew.
{"title":"The Good Occupation","authors":"Y. Miwa, M. Ramseyer","doi":"10.2139/SSRN.729463","DOIUrl":"https://doi.org/10.2139/SSRN.729463","url":null,"abstract":"Many Americans picture the Allied (i.e., U.S.) Occupation of Japan (1945-52) as the quintessentially good occupation: elaborately planned in advance, idealistically administered until derailed by anti-Communist indeologues in its later years, it laid the foundation for Japan's post-War democracy and prosperity. In fact, the Americans -- especially those Americans celebrated as most \"idealist\" -- did not plan a Japanese recovery, and for the first several years did not work for one. Instead, they mostly just planned retribution: whom to hang, and which firms to shutter. Economic issues they entrusted to Japanese bureaucrats, and those bureaucrats merely manipulated the controls they had used to disastrous effect during the War. Coming from a New Deal background in Washington, the Americans enthusiastically urged them on. Although the Japanese economy did grow, it did not grow because of the Occupation. It grew in spite of it. In early 1949, Japanese voters overwhelmingly rejected the political parties offering economic controls. In their stead, they elected center-right politicians offering a non-interventionist platform. These politicians then dismantled the controls, and (despite strong opposition from New Deal bureaucrats in the Occupation) imposed a largely non-interventionist framework. As a result of that choice -- and not as result of anything the Occupation did -- the Japanese economy grew.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133267761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2004-05-01DOI: 10.1093/0198292740.003.0012
Masayuki Tanimoto
This essay focuses on the holders of accumulated capital in the brewing industry to examine the characteristics of the capital accumulation process and the connection between accumulated capital and the start of Japan's industrialisation in Meiji period. The characteristic feature of brewing as a so-called "traditional industry" was that individual entrepreneurs accumulated a relatively large amount of capital and labour. The multi-layered structure of the brewing industry, with large-sized brewers selling to urban markets and small and medium-sized producers supplying areas outside the cities, resulted in this feature and formed a necessary condition for the investment activities of brewers. According to the examination of historical materials on particular brewery businesses [the Hamaguchi family and the Sekiguchi family], the brewers dared to invest their capital locally - in areas where they maintained close relationships. Capital accumulation in "traditional" industries was thus linked to the emergence of modern enterprises, and this linkage was supported by a regional community in which "traditional capitalists"' acted as "local notables" as much as entrepreneurs. The investment activities rooted in the regional community were the hidden driving force in initiating Japan's industrial revolution and full-scale industrialisation.
{"title":"Capital Accumulation and the Local Economy: Brewers and Local Notables","authors":"Masayuki Tanimoto","doi":"10.1093/0198292740.003.0012","DOIUrl":"https://doi.org/10.1093/0198292740.003.0012","url":null,"abstract":"This essay focuses on the holders of accumulated capital in the brewing industry to examine the characteristics of the capital accumulation process and the connection between accumulated capital and the start of Japan's industrialisation in Meiji period. The characteristic feature of brewing as a so-called \"traditional industry\" was that individual entrepreneurs accumulated a relatively large amount of capital and labour. The multi-layered structure of the brewing industry, with large-sized brewers selling to urban markets and small and medium-sized producers supplying areas outside the cities, resulted in this feature and formed a necessary condition for the investment activities of brewers. According to the examination of historical materials on particular brewery businesses [the Hamaguchi family and the Sekiguchi family], the brewers dared to invest their capital locally - in areas where they maintained close relationships. Capital accumulation in \"traditional\" industries was thus linked to the emergence of modern enterprises, and this linkage was supported by a regional community in which \"traditional capitalists\"' acted as \"local notables\" as much as entrepreneurs. The investment activities rooted in the regional community were the hidden driving force in initiating Japan's industrial revolution and full-scale industrialisation.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128413385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Change is in the air in Japan, claim many observers: the government is radically deregulating crucial sectors of the economy, the large firms are unwinding their keiretsu corporate groups, and firms and banks are dismantling their main bank arrangements. Some observers see all three as exogenous institutional shocks, while others treat the last two as behavioral responses to the first. In fact, although the first phenomenon would constitute an institutional change if it occurred, it has not -- for Japanese bureaucrats had no substantial regulatory power to abandon. Although the last two would constitute market responses if they occurred, they have not either -- for firms and banks maintained no groups or main-bank arrangements to unwind or dismantle.
{"title":"Deregulation and Market Response in Contemporary Japan : Administrative Guidance, Keiretsu, and Main Banks","authors":"John M. Olin, Y. Miwa, J. Ramseyer, M. Ramseyer","doi":"10.2139/SSRN.593527","DOIUrl":"https://doi.org/10.2139/SSRN.593527","url":null,"abstract":"Change is in the air in Japan, claim many observers: the government is radically deregulating crucial sectors of the economy, the large firms are unwinding their keiretsu corporate groups, and firms and banks are dismantling their main bank arrangements. Some observers see all three as exogenous institutional shocks, while others treat the last two as behavioral responses to the first. In fact, although the first phenomenon would constitute an institutional change if it occurred, it has not -- for Japanese bureaucrats had no substantial regulatory power to abandon. Although the last two would constitute market responses if they occurred, they have not either -- for firms and banks maintained no groups or main-bank arrangements to unwind or dismantle.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121893271","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper is concerned with estimation of the restricted parameters in location and/or scale families from a decision-theoretic point of view. A simple method is provided to show the minimaxity of the best equivariant and unrestricted estimators. This is based on a modification of the known method of Girshick and Savage (1951) and can be applied to more complicated cases of restriction in the location-scale family. Classes of minimax estimators are also constructed by using the IERD method of Kubokawa (1994a, b): Especially, the paper succeeds in constructing such a class for estimating a restricted mean in a normal distribution with an unknown variance.
{"title":"Minimaxity in Estimation of Restricted Parameters","authors":"T. Kubokawa","doi":"10.14490/jjss.34.229","DOIUrl":"https://doi.org/10.14490/jjss.34.229","url":null,"abstract":"This paper is concerned with estimation of the restricted parameters in location and/or scale families from a decision-theoretic point of view. A simple method is provided to show the minimaxity of the best equivariant and unrestricted estimators. This is based on a modification of the known method of Girshick and Savage (1951) and can be applied to more complicated cases of restriction in the location-scale family. Classes of minimax estimators are also constructed by using the IERD method of Kubokawa (1994a, b): Especially, the paper succeeds in constructing such a class for estimating a restricted mean in a normal distribution with an unknown variance.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114595726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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