Blar i Discussion papers (FOR) på forfatter "Lillestøl, Jostein"

Analyzing learning effects in the newsvendor model by probabilistic methods
Andersson, Jonas; Jörnsten, Kurt; Lillestøl, Jostein; Ubøe, Jan (Discussion paper;13/19, Working paper, 20191011)In this paper, we use probabilistic methods to analyze learning effects in a behavioral experiment on the newsvendor model. We argue why we should believe that suggested orders follow a multinomial logit distribution, and ... 
Bayesian estimation of NIGparameters by Markov chain Monte Carlo methods
Lillestøl, Jostein (Discussion paper, Working paper, 200101)The Normal Inverse Gaussian (NIG) distribution recently introduced by BarndorffNielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian ... 
Benefit efficient statistical distributions on patient lists
Ubøe, Jan; Lillestøl, Jostein (Discussion paper, Working paper, 2006)In this paper we consider statistical distributions of different types of patients on the patient lists of doctors. In our framework different types of patients have different preferences regarding their preferred choice ... 
Best estimate reporting with asymmetric loss
Lillestøl, Jostein; SindingLarsen, Richard (Discussion paper;07/15, Working paper, 20150130)This paper considers the problem of point prediction based on a predictive distribution, representing the uncertainty about the outcome. The issue explored is the reporting of a single characteristic, typically the mean, ... 
Betacreaming
Lillestøl, Jostein; SindingLarsen, Richard (Discussion paper;08/15, Working paper, 20150209)This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the ... 
Beyond the local meanvariance analysis in continuous time. The problem of nonnormality
Aase, Knut K.; Lillestøl, Jostein (Discussion paper;11/15, Working paper, 20150223)The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, shortterm interest rate in the conventional rational expectations equilibrium model of Lucas ... 
Cashier fraud : data analysis in a context
Lillestøl, Jostein (Discussion paper, Working paper, 1999)A true story is told about the role of a statistical expert witness in a cashier fraud case. It illustrates Shewhart’s first principle of understanding data: "Data have no meaning apart from their context". It may be used ... 
Creaming  and the depletion of resources: A Bayesian data analysis
Lillestøl, Jostein; SindingLarsen, Richard (Discussion paper;16/17, Working paper, 20171116)This paper considers sampling in proportion to size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising ... 
Fat and skew : can NIG cure? : on the prospects of using the normal inverse Gaussian distribution in finance
Lillestøl, Jostein (Discussion paper, Working paper, 199803)This paper explores the possibility of using the Normal Inverse Gaussian (NIG) distribution introduced by BarndorffNielsen (1997) in various problem areas in finance where distributions often are found to be nonnormal ... 
Functional data analysis : introduction and applications to financial electricity contracts
Lillestøl, Jostein; Ollmar, Fridthjof (Discussion paper, Working paper, 2003) 
Lognormal creaming and the likelihood of discovering additional giant petroleum fields
Lillestøl, Jostein; SindingLarsen, Richard (Discussion paper;3/16, Working paper, 20160127)This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the ... 
Matematikk og statistikk som metodefag ved NHH: De første femti år
Lillestøl, Jostein (Discussion paper;7/18, Working paper, 20180515)Denne rapporten gir en oversikt over utviklingen av matematikk og statistikk som metodefag i studiene ved Norges Handelshøyskole, fra starten i 1936 og 50 år framover til omlag 1986. Spesiell vekt er lagt på perioder da ... 
Patient allocations according to circumstances and preferences: Modelling based on the Norwegian patient list system
Lillestøl, Jostein; Ubøe, Jan; Rønsen, Yngve; Hjortdahl, Per (Discussion paper, Working paper, 200612)In some countries every citizen has the right to obtain a designated general practitioner. However, each individual may have preferences that cannot be fulfilled due to shortages of some kind. The questions raised in this ... 
Probabilistic cost efficiency and bounded rationality in the newsvendor model
Ubøe, Jan; Andersson, Jonas; Jörnsten, Kurt; Lillestøl, Jostein; Sandal, Leif Kristoffer (Doctoral dissertation;41/14, Working paper, 201412)In this paper we establish a link between probabilistic cost efficiency and bounded rationality in the newsvendor model. This establishes a framework where bounded rationality can be examined rigorously by statistical ... 
A regression surprise resolved
Lillestøl, Jostein; Andersson, Jonas (Discussion paper, Working paper, 200809)In this note we explore the following surprising fact: In regression with trend and seasonality, the prediction risk is constant for all seasons of a new cycle, despite the fact that it increases with time when the seasons ... 
Revelation of preferences in patient list data
Ubøe, Jan; Lillestøl, Jostein (Discussion paper, Working paper, 2007)In this paper we will show how the patient list model in Ubøe & Lillestøl (2007) can be used to infer strength of preferences from patient list data. We prove that we can construct unique sets of preferences that replicates ... 
Sample statistics as convincing evidence: A tax fraud case
Lillestøl, Jostein (Discussion paper;12/18, Working paper, 20180925)This report deals with the analysis of data used by tax officers to support their claim of tax fraud at a pizzeria. The possibilities of embezzlement under study are overreporting of takeaway sales and underreporting of ... 
Sampling risk evaluations in a tax fraud case: Some modelling issues
Lillestøl, Jostein (Discussion paper;5/20, Working paper, 20200513)This work is a followup to Lillestøl (2019). The context is the use of sample data to support claims of tax fraud at eateries, where the possibilities of embezzlement are overreporting of takeaway sales and underreporting ... 
Some crude approximation, calibration and estimation procedures for NIGvariates
Lillestøl, Jostein (Discussion paper, Working paper, 200211)In this paper we explore some crude approximation, calibration and estimation procedures for Normal Inverse Gaussian (NIG) variates of potential use in risk management. Among others we treat in some detail the calibration ... 
Some new bivariate IG and NIGdistributions for modelling covariate financial returns
Lillestøl, Jostein (Discussion paper, Working paper, 200702)The univariate Normal Inverse Gaussian (NIG) distribution is found useful for modelling financial return data exhibiting skewness and fat tails. Multivariate versions exists, but may be impractical to implement in finance. ...