63 citations · 131 across the 12 of their papers we have counts for
15 papers
The natural components of an autoregressive time series on Banach space
Phil Howlett, Brendan K Beare
We show that an autoregressive time series on Banach space can be canonically identified with a finite direct product of self-contained and self-determined natural components defin…
Convergence in distribution of the P-P process in
Brendan K. Beare, Tetsuya Kaji
We show that the percentile-percentile (P-P) process constructed from an independent and identically distributed sample of pairs converges in distribution in if and only…
Reducible Markov modulation, pole order, and tail behavior in random growth models
Brendan K. Beare, Alexis Akira Toda
Recent work on random growth models with light-tailed Markov-modulated additive shocks has shown that irreducible modulation yields tail behavior resembling an exponential distribu…
The general solution to an autoregressive law of motion
Brendan K. Beare, Massimo Franchi, Phil Howlett
We provide a complete description of the set of all solutions to a vector autoregressive law of motion. Every solution is shown to be the sum of three components, each correspondin…
Optimal taxation and the Domar-Musgrave effect
Brendan K. Beare, Alexis Akira Toda
This article concerns the optimal choice of flat taxes on labor and capital income, and on consumption, in a tractable economic model in which agents are subject to idiosyncratic i…
Modified Wilcoxon-Mann-Whitney tests of stochastic dominance
Brendan K. Beare, Jackson D. Clarke
Given independent samples from two univariate distributions, the one-sided Wilcoxon-Mann-Whitney statistic may be used to conduct a rank-based test of first-order stochastic domina…
Stochastic arbitrage with market index options
Brendan K. Beare, Juwon Seo, Zhongxi Zheng
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when c…
Optimal measure preserving derivatives revisited
Brendan K. Beare
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of der…
The Granger-Johansen representation theorem for integrated time series on Banach space
Phil Howlett, Brendan Beare, Massimo Franchi +2
We prove an extended Granger-Johansen representation theorem (GJRT) for finite or infinite order integrated autoregressive time series on Banach space. We assume only that the reso…
Least favorability of the uniform distribution for tests of the concavity of a distribution function
Brendan K. Beare
A test of the concavity of a distribution function with support contained in the unit interval may be based on a statistic constructed from the -norm of the difference between…
Tail behavior of stopped Lévy processes with Markov modulation
Brendan K. Beare, Won-Ki Seo, Alexis Akira Toda
This article concerns the tail probabilities of a light-tailed Markov-modulated Lévy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially a…
On the Emergence of a Power Law in the Distribution of COVID-19 Cases
Brendan K. Beare, Alexis Akira Toda
The first confirmed case of Coronavirus Disease 2019 (COVID-19) in the US was reported on January 21, 2020. By the end of March, 2020, there were more than 180000 confirmed cases i…
Randomization tests of copula symmetry
Brendan K. Beare, Juwon Seo
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance condition…
Determination of Pareto exponents in economic models driven by Markov multiplicative processes
Brendan K. Beare, Alexis Akira Toda
This article contains new tools for studying the shape of the stationary distribution of sizes in a dynamic economic system in which units experience random multiplicative shocks a…
Representation of I(1) and I(2) autoregressive Hilbertian processes
Brendan K. Beare, Won-Ki Seo
We extend the Granger-Johansen representation theorems for I(1) and I(2) vector autoregressive processes to accommodate processes that take values in an arbitrary complex separable…