a bayesian analysis of kriging

9
$PHULFDQ 6RFLHW\ IRU 4XDOLW\ $ %D\HVLDQ $QDO\VLV RI .ULJLQJ $XWKRUV 0DUN 6 +DQGFRFN DQG 0LFKDHO / 6WHLQ 6RXUFH 7HFKQRPHWULFV 9RO 1R 1RY SS 3XEOLVKHG E\ $PHULFDQ 6WDWLVWLFDO $VVRFLDWLRQ DQG $PHULFDQ 6RFLHW\ IRU 4XDOLW\ 6WDEOH 85/ http://www.jstor.org/stable/1270273 . $FFHVVHG Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected]. . American Statistical Association and American Society for Quality are collaborating with JSTOR to digitize, preserve and extend access to Technometrics. http://www.jstor.org This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PM All use subject to JSTOR Terms and Conditions

Upload: others

Post on 02-Apr-2022

5 views

Category:

Documents


0 download

TRANSCRIPT

$PHULFDQ�6RFLHW\�IRU�4XDOLW\

$�%D\HVLDQ�$QDO\VLV�RI�.ULJLQJ$XWKRU�V���0DUN�6��+DQGFRFN�DQG�0LFKDHO�/��6WHLQ6RXUFH��7HFKQRPHWULFV��9RO������1R�����1RY����������SS���������3XEOLVKHG�E\��$PHULFDQ�6WDWLVWLFDO�$VVRFLDWLRQ�DQG�$PHULFDQ�6RFLHW\�IRU�4XDOLW\6WDEOH�85/��http://www.jstor.org/stable/1270273 .$FFHVVHG������������������

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at .http://www.jstor.org/page/info/about/policies/terms.jsp

.JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range ofcontent in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new formsof scholarship. For more information about JSTOR, please contact [email protected].

.

American Statistical Association and American Society for Quality are collaborating with JSTOR to digitize,preserve and extend access to Technometrics.

http://www.jstor.org

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

"������$PHULFDQ�6WDWLVWLFDO�$VVRFLDWLRQ�DQG� 7(&+120(75,&6��129(0%(5�������92/������12����WKH�$PHULFDQ�6RFLHW\�IRU�4XDOLW\�&RQWURO�

$�%D\HVLDQ�$QDO\VLV�RI�.ULJLQJ�0DUN�6��+$1'&2&.�

'HSDUWPHQW�RI�6WDWLVWLFV�DQG�2SHUDWLRQV�5HVHDUFK�/HRQDUG�1��6WHUQ�6FKRRO�RI�%XVLQHVV�

1HZ�<RUN�8QLYHUVLW\�1HZ�<RUN��1<� �����������

0LFKDHO�/��67(,1�

'HSDUWPHQW�RI�6WDWLVWLFV�8QLYHUVLW\�RI�&KLFDJR�&KLFDJR��,/� ������

7KLV�DUWLFOH�LV�FRQFHUQHG�ZLWK�SUHGLFWLQJ�IRU�*DXVVLDQ�UDQGRP�ILHOGV�LQ�D�ZD\�WKDW�DSSURSULDWHO\�GHDOV�ZLWK�XQFHUWDLQW\�LQ�WKH�FRYDULDQFH�IXQFWLRQ��7R�WKLV�HQG��ZH�DQDO\]H�WKH�EHVW�OLQHDU�XQELDVHG�SUHGLFWLRQ�SURFHGXUH�ZLWKLQ�D�%D\HVLDQ�IUDPHZRUN��3DUWLFXODU�DWWHQWLRQ�LV�SDLG�WR�WKH�WUHDWPHQW�RI�SDUDPHWHUV�LQ�WKH�FRYDULDQFH�VWUXFWXUH�DQG�WKHLU�HIIHFW�RQ�WKH�TXDOLW\��ERWK�UHDO�DQG�SHUFHLYHG��RI�WKH�SUHGLFWLRQ��7KHVH�LGHDV�DUH�LPSOHPHQWHG�XVLQJ�WRSRJUDSKLFDO�GDWD�IURP�'DYLV��

.(<� :25'6�� %D\HVLDQ�VWDWLVWLFV��,QWHUSRODWLRQ��5REXVWQHVV��6SDWLDO�VWDWLVWLFV��

��� ,1752'8&7,21�

,Q�WKLV�DUWLFOH�ZH�FRQVLGHU�D�PRGHOLQJ�DSSURDFK�IRU�VSDWLDOO\�GLVWULEXWHG�GDWD��$V�DQ�LOOXVWUDWLRQ�RI�WKH�W\SHV�RI�SUREOHPV�DGGUHVVHG��FRQVLGHU�WKH�VSD��WLDOO\�GLVWULEXWHG�GDWD�LQ�)LJXUH����7KH�GDWD�DUH����WRSRORJLFDO�HOHYDWLRQV�RYHU�D�VPDOO�DUHD�RQ�WKH�QRUWK��HUQ�VLGH�RI�D�KLOO��7KH�GDWD�ZHUH�PHDVXUHG�E\�D�VXU��YH\LQJ�FODVV��XVLQJ�D�SODQH�WDEOH�DQG�DOLGDGH��'DYLV��������ZDV�LQWHUHVWHG�LQ�WKH�DQDO\VLV�RI�PDSV�DQG�XVHG�WKH�VXUYH\�WR�SURGXFH�FRQWRXUV�RI�WKH�UHJLRQ��$Q�LPSRUWDQW�IHDWXUH�LV�WKH�VPDOO�VWUHDPV�UXQQLQJ�QRUWKZDUG�GRZQ�WKH�KLOO�DQG�MRLQLQJ�WRJHWKHU�DW�WKH�EDVH�RI�WKH�UHJLRQ��+RZ�VKRXOG�ZH�DQDO\]H�WKH�GDWD�LI�RXU�REMHFWLYH�

LV�WR�SUHGLFW�WKH�HOHYDWLRQV�ZLWKLQ�WKH�UHJLRQ�VXU��YH\HG"�7KH�SHUVSHFWLYH�WDNHQ�LV�WKDW�WKH�DFWXDO�HO��HYDWLRQV�DW�HDFK�SRVVLEOH�VXUYH\�ORFDWLRQ��L�H���QRUWK��LQJ�DQG�HDVWLQJ�IURP�D�UHIHUHQFH�SRLQW��WDNHQ�WRJHWKHU�DUH�D�UHDOL]DWLRQ�IURP�D�SDUWLFXODU�VWRFKDVWLF�SURFHVV��7KH�JHQHUDO�SURFHVV�LV�GHVFULEHG�LQ�6HFWLRQ����%DVHG�RQ�WKH�REVHUYHG�GDWD�DW�WKH����ORFDWLRQV�DQG�WKLV�VWDWLVWLFDO�PRGHO��D�SUHGLFWLRQ�RI�WKH�HOHYDWLRQ�DW�XQREVHUYHG�ORFDWLRQV�FDQ�EH�PDGH��-XVW�DV�LPSRUWDQW�IURP�RXU�SHUVSHFWLYH��DQ�HVWLPDWH�RI�WKH�XQFHUWDLQW\�RI�WKDW�SUHGLFWLRQ�FDQ�EH�GHULYHG�IURP�WKH�PRGHO��7KH�VWDWLVWLFDO�PRGHO�LV�VHOGRP�H[DFWO\�NQRZQ�EH��

IRUHKDQG�DQG�LV�XVXDOO\�HVWLPDWHG�IURP�WKH�YHU\�VDPH�GDWD�IURP�ZKLFK�WKH�SUHGLFWLRQV�DUH�PDGH��7KH�RE��MHFWLYH�RI�WKLV�DUWLFOH�LV�WR�DVVHVV�WKH�HIIHFW�RI�WKH�IDFW�WKDW�WKH�PRGHO�LV�HVWLPDWHG�UDWKHU�WKDQ�NQRZQ�RQ�WKH�SUHGLFWLRQ�DQG�WKH�DVVRFLDWHG�SUHGLFWLRQ�XQFHU��WDLQW\��:H� GHVFULEH�D� PHWKRG�IRU�DFKLHYLQJ�WKLV�REMHFWLYH��)RU�H[DPSOH��VXSSRVH�WKDW�ZH�ZLVK�WR�SUHGLFW�WKH�

HOHYDWLRQ�DW�ZKLFK�WKH�VWUHDPV�MRLQ�DW�WKH�EDVH�RI�WKH�KLOO��:H�DFWXDOO\�KDYH�DQ�REVHUYDWLRQ�WKHUH��LQGLFDW��

LQJ�WKDW�WKH�HOHYDWLRQ�LV�����IHHW��EXW�ZH�ZLOO�LJQRUH�LW�DW�WKLV�SRLQW�H[FHSW�WR�XVH�LW�WR�FKHFN�RXU�SUHGLFWLRQ��7KH�FRPPRQO\�XVHG�PHWKRG�RI�PD[LPXP�OLNHOLKRRG�IRU�HVWLPDWLQJ�WKH�EHVW�PRGHO�VXJJHVWV�WKDW�WKH�WUXH�HOHYDWLRQ�KDV�D�����FKDQFH�RI�EHLQJ�LQ�WKH�LQWHUYDO������������IHHW��7KLV�LQWHUYDO�RQO\�UHSUHVHQWV�WKH�XQ��FHUWDLQW\�LQ�WKH�SUHGLFWLRQ�JLYHQ�WKLV�SDUWLFXODU�HVWL��PDWHG�PRGHO�DQG�GRHV�QRW�UHSUHVHQW�WKH�XQFHUWDLQW\�LQ�HVWLPDWLQJ�WKH�PRGHO�LWVHOI��:KHQ�WKLV�LV�DFFRXQWHG�IRU��XVLQJ�WKH�PHWKRG�GHVFULEHG�LQ�WKH�QH[W�VHFWLRQV��WKH�%D\HVLDQ�����SUHGLFWLRQ�LQWHUYDO�LV������������IHHW��7KH�SRVWHULRU�SUREDELOLW\�FRQWHQW��LQFRUSRUDW��LQJ�WKH�PRGHO�XQFHUWDLQW\��RI�WKH�PD[LPXP�OLNHOL��KRRG�LQWHUYDO�LV������6LPLODU�LQDFFXUDFLHV�DUH�WR�EH�H[SHFWHG�ZKHQ�WKH�HVWLPDWHG�XQFHUWDLQWLHV�DUH�EDVHG�RQ�DOWHUQDWLYH�SRLQW�HVWLPDWHV�RI�WKH�PRGHO��:H�FRQFOXGH�WKDW�LQ�PDQ\�SUDFWLFDO�VLWXDWLRQV�WKLV�

XQFHUWDLQW\�KDV�D�ODUJH�LPSDFW�RQ�WKH�HVWLPDWHG�XQ��FHUWDLQW\�RI�WKH�SUHGLFWLRQ�DQG�D�OHVVHU�HIIHFW�RQ�WKH�SUHGLFWHG�YDOXH�LWVHOI��,I�WKHUH�LV�OLWWOH�LQIRUPDWLRQ�DERXW�WKH�PRGHO�LQ�WKH�GDWD�WKH�DSSURDFK�JXDUGV�DJDLQVW�JURVV�HUURU��,Q�VLWXDWLRQV�LQ�ZKLFK�VXEVWDQWLDO�SUHYLRXV�NQRZOHGJH�RI�WKH�SKHQRPHQD�H[LVWV��WKH�DSSURDFK�DOORZV�WKH�LQIRUPDWLRQ�WR�EH�LQFRUSRUDWHG�HDVLO\��%D\HVLDQ�DQDO\VHV�RI�NULJLQJ�SURFHGXUHV�DUH�UHOD��

WLYHO\�QHZ��([FHSW�IRU�WKH�ZRUN�RI�2PUH���������2PUH�DQG�+DOYDUVHQ���������DQG�:RRGEXU\���������WKHUH�DSSHDUV�WR�EH�QR�ZRUN�IURP�ZLWKLQ�WKH�JHR��VWDWLVWLFDO�FRPPXQLW\�XVLQJ�WKH�%D\HVLDQ�SHUVSHFWLYH��2PUH�DQG�+DOYDUVHQ��������GHVFULEHG�D�%D\HVLDQ�DSSURDFK�WR�SUHGLFWLQJ�WKH�GHSWK�RI�JHRORJLF�KRUL]RQV�EDVHG�RQ�VHLVPLF�UHIOHFWLRQ�WLPHV��7KH\�QRWHG�WKH�%D\HVLDQ�LQWHUSUHWDWLRQ�RI�RUGLQDU\�NULJLQJ�DQG�XVHG�SULRU�LQIRUPDWLRQ�DERXW�WKH�PHDQ�IXQFWLRQ�RQO\��QRW�DFFRXQWLQJ�IRU�XQFHUWDLQW\�LQ�WKH�FRYDULDQFH�VWUXF��WXUH��2I�FRXUVH��WKH�VLWXDWLRQ�LV�D�GLUHFW�H[WHQVLRQ�RI�

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

0$5.�6��+$1'&2&.�$1'�0,&+$(/�/��67(,1�

��� 0(7+2'2/2*<�

R� R��

���� �������� ����� ����� �� ��� ����� �� �� �� �L� �� �M��� ����"� ���� L�

����� B��

"������� �� ��������V���� �� �� �� �� ������

������� _��� �� ������ ��

�������������������L���

U��� ��W� RU� WK�����(RVWLQJ��\RUGV�� ���� a��

)LJXUH����(OHYDWLRQV�RI�WKH�1RUWK�)DFH�RI�D�+LOO�)URP�'DYLV���������7DEOH��������7KH�DVSHFW�UDWLR�LQ�WKH�ILJXUH�LV�VSDWLDOO\�FRUUHFW��7KH�VROLG�OLQHV�LQGLFDWH�WKH�VPDOO�VWUHDPV�UXQQLQJ�GRZQ�WKH�KLOO��(OHYDWLRQV�RQ�WKH�VWUHDPV�DUH�LQGLFDWHG�E\�[�DQG�WKRVH�QRW�RQ�WKH�VWUHDPV�DUH�PDUNHG�E\�R��

VWDQGDUG�%D\HVLDQ�ZRUN�LQ�OLQHDU�PRGHOV��RQ�ZKLFK��IRU�H[DPSOH��%R[�DQG�7LDR��������VHF�������DQG�=HOO��QHU��������VHF�� ��� DUH�WH[WERRN�UHIHUHQFHV��%RWK�VNHWFKHG�UHVXOWV�XVLQJ�QDWXUDO�YDJXH�SULRU�GLVWULEX��WLRQV�IRU�WKH�SDUDPHWHUV��0XFK�RI�WKH�ZRUN�LQ�%D\HV��LDQ�WLPH�VHULHV�IRFXVHV�RQ�WKH�HVWLPDWLRQ�RI�WKH�SD��UDPHWHUV�RI�SDUWLFXODU�DXWRUHJUHVVLYH�PRYLQJ�DYHUDJH��$50$�� PRGHOV��=HOOQHU��������VHF�����GHULYHG�WKH�SUHGLFWLYH�GLVWULEXWLRQ�RI�D�IXWXUH�REVHUYDWLRQ�IURP�D�QRW�QHFHVVDULO\�VWDWLRQDU\�$5����SURFHVV��%URHPHOLQJ��������JDYH�D�GLVFXVVLRQ�RI�VWDQGDUG�UHJUHVVLRQ�DQG�PL[HG�PRGHOV��+LV�VHFWLRQ���H[WHQGHG�=HOOQHUV��������ZRUN�E\�XVLQJ�WKH�SURSHU�FRQMXJDWH�SULRU�GLVWULEX��WLRQV�IRU�DXWRUHJUHVVLYH�VHULHV��+H�GLG�QRW�H[WHQG�WKH�ZRUN�RQ�SUHGLFWLRQ��$OO�RI�WKHVH�DQDO\VHV�DVVXPH�WKDW�WKH�$50$�RUGHUV�DUH�NQRZQ��7KH�ZRUN�RI�+DUULVRQ�DQG�6WHYHQV��������DQG�:HVW�DQG�+DUULVRQ��������RQ�IRUHFDVWLQJ�XVLQJ�G\QDPLF�IXOO\�%D\HVLDQ�PRGHOV�LV�DOVR�RI�LQWHUHVW��7KH�ODVW�IHZ�\HDUV�KDYH�VHHQ�DQ�H[SORVLRQ�RI�ZRUN�LQ�%D\HVLDQ�WLPH�VHULHV��HVSHFLDOO\�RQ�VWDWH�VSDFH�DSSURDFKHV�XVLQJ�WKH�.DOPDQ�ILOWHU��)RU�D�VXPPDU\��FRQVLGHU�WKH�HVVD\�E\�%URHPHOLQJ�DQG�6KDDUDZ\���������+HUH�ZH�ZLOO�IRFXV�RQ�D�SDU��DPHWULF�UHSUHVHQWDWLRQ�RI�WKH�FRYDULDQFH�VWUXFWXUH�DV�LWV�GLUHFW�LQWHUSUHWDWLRQ�LV�RI�LQWHUHVW��1RQSDUDPHWULF�DSSURDFKHV�ZHUH�GHYHORSHG�E\�/H�DQG�=LGHN��������DQG�3LO]��������� $Q�DOWHUQDWLYH�QRQ�%D\HVLDQ�DS��SURDFK�WR�FRYDULDQFH�SDUDPHWHU�XQFHUWDLQW\�ZDV�JLYHQ�E\�6ZLW]HU���������:KDW�LV�QRYHO�DERXW�WKLV�DUWLFOH�LV�WKH�VSDWLDO�VHWWLQJ�ZLWK�LUUHJXODUO\�REVHUYHG�ORFDWLRQV�DQG�WKH�JHQHUDO�WUHDWPHQW�RI�SDUDPHWHUV�LQ�WKH�FR��YDULDQFH�VWUXFWXUH�RWKHU�WKDQ�ORFDWLRQ�DQG�VFDOH��7KH�IUDPHZRUN�RI�SUHGLFWLRQ�LV�GHYHORSHG�LQ�6HF��

WLRQ����7KH�DVVXPSWLRQ�WKDW�WKH�FRYDULDQFH�VWUXFWXUH�LV�NQRZQ�LV�UHOD[HG�DQG�WKH�%D\HVLDQ�IRUPXODWLRQ�LV�GHYHORSHG�LQ�6HFWLRQ����7KH�IRFXV�LV�WKH�HYDOXDWLRQ�RI�WKH�SHUIRUPDQFH�RI�WKH�WUDGLWLRQDO�SOXJ�LQ�NULJLQJ�SURFHGXUH��7KLV�HYDOXDWLRQ�LV�LOOXVWUDWHG�LQ�6HFWLRQ���XVLQJ�WRSRJUDSKLFDO�GDWD�IURP�'DYLV���������

���� 3UHGLFWLRQ�8VLQJ�.ULJLQJ�

,Q�WKLV�VHFWLRQ��ZH�SUHVHQW�WKH�WUDGLWLRQDO�NULJLQJ�SURFHGXUH�DV�WKH�EDVLV�IRU�WKH�ODWHU�GHYHORSPHQWV��6XSSRVH�WKDW�=�[�� LV�D�UHDO�YDOXHG�VWDWLRQDU\�*DXV��VLDQ�UDQGRP�ILHOG�RQ�5�ZLWK�PHDQ�(^=�[�`� �I�[�����ZKHUH�I�[�� � ^I��[������� ��IT�[�`�LV�D�NQRZQ�YHFWRU��YDOXHG�IXQFWLRQ�DQG���LV�D�YHFWRU�RI�XQNQRZQ�UHJUHV��VLRQ�FRHIILFLHQWV��)XUWKHUPRUH��WKH�FRYDULDQFH�IXQF��WLRQ�LV�UHSUHVHQWHG�E\�FRY^=�[���=�\�`� � D.��[��\��IRU�[��\�(�5��ZKHUH�D�!� ��LV�D�VFDOH�SDUDPHWHU����(�2�LV�D�S� [� ��YHFWRU�RI�VWUXFWXUDO�SDUDPHWHUV��DQG���LV�DQ�RSHQ�VHW�LQ�53��7KH�GLYLVLRQ�LV�SXUHO\�IRUPDO�EHFDXVH���PD\�DOVR�GHWHUPLQH�DVSHFWV�RI�VFDOH��,Q�WKH�JHQHUDO�FDVH��ZH�REVHUYH�̂=�[���� ����� =�[�`� �=� DQG�ZLOO�IRFXV�RQ�WKH�SUHGLFWLRQ�RI�=�[R���7KH�NULJLQJ�SUHGLFWRU�LV�WKH�EHVW�OLQHDU�XQELDVHG�SUHGLFWRU�RI�WKH�IRUP�=R�[R�� � $���=�WKDW� LV��WKH�XQELDVHG�OLQHDU�FRPELQDWLRQ�RI�WKH�REVHUYDWLRQV�WKDW�PLQL��PL]HV�WKH�YDULDQFH�RI�WKH�SUHGLFWLRQ�HUURU��,W�LV�VWUDLJKWIRUZDUG�WR�VKRZ�WKDW�WKH�FRUUHVSRQGLQJ�ZHLJKW�YHFWRU�$����GHILQLQJ�=R�[R��LV�JLYHQ�E\�

���� � ER�).� )��).R�� �� NR.��� ������

ZKHUH�)� � ^M�[L�`[���� NR� � ^.R�[R��;L�`�Q[O�.� �

^.R�[L��;M�`Q�Q��DQG�ER� � I�[R�� �� ).� ON���,Q�WKH�H[DPSOH��[� � �[���[����DQG�ZH�FDQ�WDNH�IO�[��

�[��DQG�I��[�� �[���WKH�QRUWKLQJ�DQG�HDVWLQJ�RI�WKH�VXUYH\�ORFDWLRQV��UHVSHFWLYHO\��$�WKLUG�FRPSRQHQW�RI�WKH�PHDQ�ZLOO�EH�DGGHG�LQ�6HFWLRQ����7KH�FRYDULDQFH�IXQFWLRQ�UHSUHVHQWV�WKH�FRYDULDQFH�EHWZHHQ�WKH�HO��HYDWLRQ�DW�WKH�VXUYH\�ORFDWLRQV�[� � �[���[���DQG�\� ��\O�� \����

���� $VVHVVLQJ� 8QFHUWDLQW\�LQ�.ULJLQJ�7KH�TXDOLW\�RI�WKH�SUHGLFWLRQ�LV�GHWHUPLQHG�E\�

WKH�GLVWULEXWLRQ�RI�WKH�SUHGLFWLRQ�HUURU��H�[R�� �=�[R�� �� =R�[R���1RWH�WKDW�WKH�SUHGLFWLRQ�ZHLJKWV�$����GR�QRW�GHSHQG�RQ�D�RU���� 8QGHU�RXU�*DXVVLDQ�PRGHO��IRU�IL[HG�D�� "��DQG����WKH�FRQGLWLRQDO�GLVWUL��EXWLRQ�RI�=�[R��DQG�H��[R��JLYHQ�=�DUH�

=�[R�O=��� 1�N�.� =� �� E��S��

D^.R�[R��;R���� N.R�ON`��DQG�

H��[R�O=��� 1�E��� �� �������

D^.R�[R��;R���� NR.RONR`���ZKHUH������ � �).A�)��).�� =� DQG�1���� ���GH��QRWHV�WKH�*DXVVLDQ�GLVWULEXWLRQ��7KH�VDPSOLQJ��RU�XQFRQGLWLRQDO��GLVWULEXWLRQ�IRU�HR�[R��LV�

HR�[R���� 1�2��D9R��� ������

7(&+120(75,&6��129(0%(5�������92/������12����

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

$�%$<(6,$1�$1$/<6,6�2)�.5,*,1*�

ZKHUH�9�� �.R�[R��[R���� N.A��N� ��E�).R� )��� ER�DQG�D9R�LV�WKH�XVXDO�SUHGLFWLRQ�HUURU�YDULDQFH�DV�JLYHQ�E\�5LSOH\���������1RWH�WKDW�WKH�XQGHUO\LQJ�NULJLQJ�SURFHGXUH�LV�PR��

WLYDWHG�E\�VDPSOLQJ�FRQVLGHUDWLRQV��SURGXFLQJ�SRLQW�SUHGLFWLRQV�DQG�DVVRFLDWHG�PHDVXUHV�RI�XQFHUWDLQW\�IRU�WKRVH�SUHGLFWLRQV�ERWK�EDVHG�RQ�VDPSOLQJ�GLVWUL��EXWLRQV�XQFRQGLWLRQDO�RQ�WKH�REVHUYHG�=�� .ULJLQJ��KRZHYHU��ZKHQ�WKH�PHDQ�LV�RI�NQRZQ�UHJUHVVLRQ�IRUP��FDQ�EH�JLYHQ�D�%D\HVLDQ�LQWHUSUHWDWLRQ��7UDGLWLRQ��DOO\��LW�LV�DVVXPHG�WKDW�WKH�FRYDULDQFH�IXQFWLRQ�LV�NQRZQ�H[DFWO\�DQG�WKH�LQYHVWLJDWRU�KDV�OLWWOH�NQRZO��HGJH�DERXW���SULRU�WR�DQDO\]LQJ�WKH�GDWD��7KH�XQGHU��O\LQJ�NULJLQJ�DSSURDFK�XVXDOO\�SUHVXPHV�LJQRUDQFH�DERXW���DQG�WKH�XQUHODWHGQHVV�RI���WR�WKH�EHKDYLRU�RI�WKH�FRYDULDQFH�IXQFWLRQ��7KLV�ODWWHU�SKLORVRSK\�ZLOO�EH�IROORZHG�WKURXJKRXW�WKH�DUWLFOH��8QGHU�WKHVH�DV��VXPSWLRQV��DQ� DSSURSULDWH�SULRU�GLVWULEXWLRQ�KDV�SU����D�����ORFDOO\�XQLIRUP��7KH�SRVWHULRU�GLVWULEXWLRQ�RI�IL�LV�WKHQ�

�_D�� ���=� 1�T���2���D�).� )�����

7KH�SRVWHULRU�GLVWULEXWLRQ�RI�WKH�SUHGLFWLRQ�HUURU�LV�WKHQ�

SU�HR�[R�OD�����=��

R� SU�HR�[R�OD�� ������=��SU���_D�����=�G���

ZKLFK�LV��E\�GLUHFW�FDOFXODWLRQ��

HR�[R�OD�����=��� 1�2��D9���� ������WKH�VDPH�DV�WKH�VDPSOLQJ�GLVWULEXWLRQ��������6LPLODUO\�ZH�KDYH�

=�[R�OD�����=�a� 1�=R�[R���D9R��� ������ZKHUH�=R�[R�� � N.R� =� �� ER�O����LV�WKH�XVXDO�NULJ��LQJ�SRLQW�SUHGLFWRU��7KHVH�GLVWULEXWLRQV�IRUP�WKH�ED��VLV�IRU�DOO�LQIHUHQWLDO�VWDWHPHQWV�DERXW�WKH�SUHGLFWLRQ�DQG�SUHGLFWLRQ�HUURU��+HQFH��H[FHSW�IRU�WKH�XVXDO�GLIIHUHQFHV�LQ�LQWHUSUHWDWLRQ��ZH�HQG�XS�ZLWK�WKH�VDPH�DQDO\VLV�DV�WKH�WUDGLWLRQDO�DSSURDFK��7KLV�FRPSDULVRQ�PD\�EH�ORRVHO\�VWDWHG�DV�IROORZV��2UGLQDU\�NULJLQJ�LV��%D\HVLDQ��ZLWK�WKH�QRQLQIRUPDWLYH�SULRU�IRU�WKH�PHDQ�SDUDPHWHU��

��� .5,*,1*�:,7+�81.12:1�&29$5,$1&(�3$5$0(7(56�

,Q�WKLV�VHFWLRQ��WKH�DVVXPSWLRQ�WKDW�WKH�FRYDULDQFH�IXQFWLRQ�LV�NQRZQ�H[DFWO\�LV�UHOD[HG�WR�DOORZ�WKH�FR��YDULDQFH�IXQFWLRQ�WR�EH�XQNQRZQ�EXW�VWLOO�D�PHPEHU�RI�WKH�SDUDPHWULF�FODVV����,Q�WUDGLWLRQDO�NULJLQJ��RQH�HVWLPDWHV�D� DQG���E\�

HLWKHU�OLNHOLKRRG�PHWKRGV�RU�YDULRXV�DG� KRF�DS��SURDFKHV��7KH�OLNHOLKRRG�DSSURDFK�WR�WKH�HVWLPDWLRQ�RI�WKH�FRYDULDQFH�VWUXFWXUH�ZDV�ILUVW�DSSOLHG�LQ�WKH�

K\GURORJLFDO�DQG�JHRORJLFDO�ILHOGV�IROORZLQJ�.LWDQLGLV���������.LWDQLGLV�DQG�/DQH���������DQG�+RHNVHPD�DQG�.LWDQLGLV���������$Q�DUWLFOH�E\�0DUGLD�DQG�0DU��VKDOO��������LV�D�VWDQGDUG�UHIHUHQFH�LQ�WKH�VWDWLVWLFDO�OLWHUDWXUH��8VXDOO\�WKH�SUHGLFWRU�DQG�WKH�EHKDYLRU�RI�WKH�SUHGLFWLRQ�HUURU�DUH�WKHPVHOYHV�HVWLPDWHG�E\��SOXJJLQJ�LQ��WKH�HVWLPDWHV�WR�������DQG�������� ,I���LV�NQRZQ�VR�WKDW�RQO\�WKH�ORFDWLRQ�SDUDPHWHU���DQG�WKH�VFDOH�SDUDPHWHU�D�DUH�XQFHUWDLQ��WKHQ�ZH�DUH�LQ�D�VWDQGDUG�JHQHUDOL]HG�OHDVW�VTXDUHV�VHWWLQJ��7KH�GLV��WLQFWLRQ�EHWZHHQ�WKH�JHQHUDOL]HG�OHDVW�VTXDUHV�VHWWLQJ�DQG�WKH�UDQGRP�ILHOG�VHWWLQJ�LV�WKH�XQFHUWDLQW\�LQ�WKH�VWUXFWXUDO�SDUDPHWHU����$OWKRXJK�WKH�UHVWULFWLRQ�WR�D�SDUDPHWULF�FODVV�LV�D�VLJQLILFDQW�DVVXPSWLRQ��LW�VWLOO�DOORZV�JUHDW�ODWLWXGH��%HFDXVH���LV�D�ORFDWLRQ�SDUDPHWHU��ZH�H[SHFW�WKDW�

RXU�SULRU�RSLQLRQV�DERXW���EHDU�QR�UHODWLRQVKLS�WR�WKRVH�DERXW�D�DQG�D�SULRUL�PLJKW�H[SHFW�D�DQG���WR�EH�LQGHSHQGHQW��OHDGLQJ�WR�WKH�XVH�RI�-HIIUH\VV�SULRU��3DUWO\�IRU�FRQYHQLHQFH��WKH�IRUP�RI�WKH�SULRU�XVHG�KHUH�ZLOO�EH�

SU�D��������� F�SU����D��

,W�HDVLO\�IROORZV�IURP�=HOOQHU��������WKDW�WKH�SUHGLF��WLYH�GLVWULEXWLRQ�RI�=�[R��FRQGLWLRQDO�RQ���DQG�=�LV�

=�[R�O��� =� a��WT��� R�[R�� ��Q� D���9�Q���T� Q��� A����9R�� ������

D�VKLIWHG�W�GLVWULEXWLRQ�RQ�Q��� T�GI��7KH�PDUJLQDO�SRVWHULRU�GLVWULEXWLRQ�RI���FDQ�EH�

VKRZQ�WR�EH�

SU���=��F�SU����

,.,�

��

��).R�),�����������Q� T�� �� ������

7KH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ�IRU�=�[R�� LV�SU�=�[R��=�� RF�I�SU�=�[R�_���=�� �� SU��,=�G���ZKHUH�WKH�LQWHJUDQG�LV�JLYHQ�E\������� DQG�������� %HFDXVH�WKH�GHSHQGHQFH�RI�.R�RQ���LV�QRW�VSHFLILHG��WKLV�H[SUHVVLRQ�FDQQRW�EH�VLPSOLILHG��DQG�IXUWKHU�H[SOR��UDWLRQ�ZLOO�LQ�JHQHUDO�UHTXLUH�QXPHULFDO�FRPSXWDWLRQ��,I�SULRU�LQIRUPDWLRQ�LV�DYDLODEOH��LW�PD\�EH�GLUHFWO\�LQFRUSRUDWHG�LQWR��������DOWKRXJK�DGGLWLRQDO�QXPHU��LFDO�LQWHJUDWLRQ�PD\�EH�QHFHVVDU\�LI�SULRU�GHSHQGHQ��FLHV�DPRQJ��D�� ������DUH�HQYLVDJHG��6XSSRVH�WKDW�ZH�XVH�DQ�HVWLPDWLRQ�SURFHGXUH�WR�

VHOHFW�WKH�SDUDPHWHUV��F�� ���RI�D�FRYDULDQFH�VWUXF��WXUH��7KHVH�PD\�EH�DUULYHG�DW�E\�DQ\�SURFHGXUH��DOWKRXJK�WKH�XVXDO�PHWKRGV�DUH�PD[LPXP�OLNHOLKRRG��ZHLJKWHG�OHDVW�VTXDUHV�RU�RQH�GHULYHG�IURP�HPSLULFDO�FRUUHODWLRQ�IXQFWLRQV��7KH�GLVWULEXWLRQ�WKDW�DQ�LQ��YHVWLJDWRU�ZRXOG�XVH�DV�D�EDVLV�IRU�LQIHUHQFH�DERXW�=�[R��ZRXOG�EH�=�[���OD�����=�a�1�=��[R���G9����SOXJ��JLQJ�LQ��F������IRU��D�� ���LQ��������'HSHQGLQJ�RQ�WKH�LQIOXHQFH�RI���RQ�WKH�VSUHDG�DQG�

ORFDWLRQ�RI�SU�=�[R�����=��� WKH�%D\HVLDQ�SUHGLFWLYH�

7(&+120(75,&6��129(0%(5�������92/������12����

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

0$5.�6��+$1'&2&.�$1'�0,&+$(/�/��67(,1�

GLVWULEXWLRQ�PLJKW�EH�ZLGHU�RU�QDUURZHU�WKDQ�WKH�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ��7KH�ORFDWLRQ�RI�WKH�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ�PD\�DOVR�EH�TXLWH�GLI��IHUHQW�IURP�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ��7\SLFDOO\��WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ�ZLOO�KDYH�QR�VLPSOH�DQDO\WLF�IRUP�DQG�PXVW�EH�GHWHUPLQHG�QXPHULFDOO\��7KH�GLIIHUHQFH�EHWZHHQ�WKH�SOXJ�LQ�DQG�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQV�UHSUHVHQWV�WKH�GLI��IHUHQFH�LQ�LQIHUHQFH�EHWZHHQ�WKH�WUDGLWLRQDO�NULJLQJ�DSSURDFK�DQG�WKH�IXOO�%D\HVLDQ�DSSURDFK��1RWH�WKDW�WKH�SOXJ�LQ�SUHGLFWLRQ�HUURU��H�[R�� �

=�[R���� =��[����LV�MXVW�D�VKLIWHG�YHUVLRQ�RI�=�[R���VR�FRPSDULVRQV�RI�SHUIRUPDQFH�RI�WKH�SOXJ�LQ�HVWLPDWHV�ZLOO�EH�WKH�VDPH�ZKHWKHU�ZH�FRQVLGHU�=�[R��RU�H�[R���:H�FRXOG�LQWHUSUHW�WKLV�DV�D�FRPSDULVRQ�EHWZHHQ�WKH�SOXJ�LQ�GLVWULEXWLRQ�IRU�HR�[R��DQG�WKH�DFWXDO�GLVWUL��EXWLRQ�IRU�HR�[R��XQGHU�WKH�IXOO�%D\HVLDQ�PRGHO��DO��WKRXJK�WKH�ODWWHU�GLVWULEXWLRQ�ZRXOG�QRW�EH�XVHG�IRU�LQIHUHQFH��

7KH�0DWHUQ�&ODVV�RI�&RYDULDQFH�)XQFWLRQV�

,Q�WKLV�VHFWLRQ��ZH�GHVFULEH�D�JHQHUDO�FODVV�RI�FR��YDULDQFH�IXQFWLRQV�WKDW�ZH�IHHO�SURYLGHV�D� VRXQG�IRXQGDWLRQ�IRU�WKH�SDUDPHWULF�PRGHOLQJ�RI�*DXVVLDQ�UDQGRP�ILHOGV��7KH�FODVV�LV�PRWLYDWHG�E\�WKH�VPRRWK�QDWXUH�RI�WKH�VSHFWUDO�GHQVLW\��WKH�ZLGH�UDQJH�RI�EH��KDYLRUV�FRYHUHG��DQG�WKH�LQWHUSUHWDELOLW\�RI�WKH�SD��UDPHWHUV��,W�ZLOO�EH�XVHG�WKURXJKRXW�WKH�ODWHU�VHF��WLRQV��7KH� SURSHUWLHV�RI�WKH�FRYDULDQFH�IXQFWLRQ�GLUHFWO\�GHWHUPLQH�WKH�SURSHUWLHV�RI�WKH�UDQGRP�ILHOG�PRGHO��7KH�0DWHUQ�FODVV�LV�FKDUDFWHUL]HG�E\�WKH�SD��UDPHWHU��� � �������������!� ��LV�D�VFDOH�SDUDPHWHU�FRQWUROOLQJ�WKH�UDQJH�RI�FRUUHODWLRQ��7KH�VPRRWKQHVV�SDUDPHWHU����!� ��GLUHFWO\�FRQWUROV�WKH�VPRRWKQHVV�RI�WKH�UDQGRP�ILHOG��7KH�([SRQHQWLDO�FODVV�FRUUH��VSRQGV�WR�WKH�VXEFODVV�ZLWK�VPRRWKQHVV�SDUDPHWHU���� � ��� WKDW�LV�.(�[�� � H[S��[����� 7KH� VXEFODVV�GHILQHG�E\���� � ��ZDV�LQWURGXFHG�E\�:KLWWOH��������DV�D�PRGHO�IRU�WZR�GLPHQVLRQDO�ILHOGV��,W�LV�FRPPRQO\�XVHG�LQ�K\GURORJ\��&UHXWLQ�DQG�2EOHG�������-RQHV�������0HMLD�DQG�5RGULJXH]�,WXUEH��������$V�����!����.R�[���!�H[S���� �������RIWHQ�FDOOHG�WKH��*DXVVLDQ��FRYDULDQFH�IXQFWLRQ��:H�VKDOO�UHIHU�WR�LW�DV�WKH�6TXDUHG�([SRQHQWLDO�PRGHO��7KLV�PRGHO�IRUPV�WKH�XSSHU�OLPLW�RI�VPRRWKQHVV�LQ�WKH�FODVV�DQG�ZLOO�UDUHO\�UHSUHVHQW�QDWXUDO�SKHQRPHQD�EHFDXVH�UHDOL]DWLRQV�IURP�LW�DUH�LQILQLWHO\�GLIIHUHQWLDEOH��7KH�LVRWURSLF�FRUUHODWLRQ�IXQFWLRQV�KDYH�WKH�JHQ��

HUDO�IRUP�

.��[�� �� ��� �[�� ?�����.R�[� ��R��7��B������ R�� ���ZKHUH���� � �����Y����DQG�;���LV�WKH�PRGLILHG�%HVVHO�IXQFWLRQ�RI�RUGHU���� GLVFXVVHG�E\�$EUDPRZLW]�DQG�6WHJXQ��������VHF������

$�ILHOG�ZLWK�WKLV�FRYDULDQFH�IXQFWLRQ�LV�U��� �� ��WLPHV��PHDQ�VTXDUHG��GLIIHUHQWLDEOH��ZKHUH�)�LV�WKH�LQWHJHU�FHLOLQJ�IXQFWLRQ��7KH�UHDOL]DWLRQV�ZLOO�KDYH�FRQWLQXRXV�U����� ��GHULYDWLYHV�LI����!� >��� �� ���,I�WKH�ILHOG�LV�*DXVVLDQ��WKH�UHDOL]DWLRQV�ZLOO�KDYH�FRQWLQ��XRXV���� �� ��GHULYDWLYHV��DOPRVW�FHUWDLQO\���VHH�&UDPHU�DQG�/HDGEHWWHU�������VHFV������������DQG�����������$OO�FDOFXODWLRQV�RI�-I��LQ�WKLV�ZRUN�XVH�WKH�5.%(6/�

DOJRULWKP�IURP�WKH�63(&)81� �&RG\�������OLEUDU\�DYDLODEOH�IURP�1(7/,%� �'RQJDUUD�DQG�'X� &UR]��������$�JHQHUDO�WUHDWPHQW�ZDV�JLYHQ�LQ�WKH�VHPLQDO�ZRUN�E\�0DWHUQ���������

��� $1�$1$/<6,6�2)�'$9,66�7232*5$3+,&$/�'$7$�

,Q�WKLV�VHFWLRQ��ZH�DQDO\]H�WKH�GDWD�LQWURGXFHG�LQ�6HFWLRQ����RULJLQDOO\�IURP�'DYLV���������,W�ZDV�VWXG��LHG�E\�5LSOH\��������SS��������� DQG�VXEVHTXHQWO\�E\�:DUQHV���������:DUQHV�DQG�5LSOH\���������5LSOH\��������SS����������DQG�0DUGLD�DQG�:DWNLQV���������7KH�RULJLQDO�GDWD�ZHUH�VFDOHG�VR�WKDW����\DUGV�LQ�ORFDWLRQ�FRUUHVSRQG�WR�RQH�PDS�XQLW��:H�ZLOO�XVH�WKH�PRUH�QDWXUDO�XQLWV�RI�\DUGV��DOWKRXJK�WKH�ODWHU�UHIHUHQFHV�FRQWLQXHG�WKH�RULJLQDO�VFDOLQJ��7KH�VXUYH\�ORFDWLRQV�DUH�UHFRUGHG�WR�WZR�VLJQLILFDQW�ILJXUHV�DQG�WKH�HOHYDWLRQV�WR�WKUHH�VLJQLILFDQW�ILJXUHV��7KH�PDMRU�DVVXPSWLRQV�LPSOLFLW�LQ�WKH�PRGHO�DUH�

VWDWLRQDULW\�RI�WKH�*DXVVLDQ�UDQGRP�ILHOG��LVRWURS\�RI�WKH�FRUUHODWLRQV��DQG�WKH�FRUUHFW�VSHFLILFDWLRQ�RI�WKH�PHDQ��7KHVH�DUH�LQWHUGHSHQGHQW�VR�WKDW�FKHFNLQJ�WKHP�LQGLYLGXDOO\�LV�XVXDOO\�QRW�WKH�EHVW�DSSURDFK��7KHUH�DUH�DYDLODEOH�PHWKRGV�WR�WHVW�LI�WKH�PDUJLQDO�GLVWULEXWLRQ�RI�WKH�REVHUYDWLRQV�LV�*DXVVLDQ��,W�LV�GLI��ILFXOW�WR�GHWHUPLQH��KRZHYHU��LI�WKH�MRLQW�GLVWULEXWLRQ�RI�WKH�REVHUYDWLRQV�LV�*DXVVLDQ�LQ�WKH�SUHVHQFH�RI�DQ�XQNQRZQ�FRUUHODWLRQ�VWUXFWXUH��,Q�SDUWLFXODU��WKH�PDUJLQDO�GLVWULEXWLRQ�RI�WKH�REVHUYDWLRQV�JLYH�OLWWOH�JXLGDQFH�WR�WKH�MRLQW�GLVWULEXWLRQ��7KH�UHDOL]DWLRQV�RI�WKH�UDQGRP�ILHOG�FDQ�EH�DVVXPHG�WR�EH�VPRRWK��DW�OHDVW�FRQWLQXRXV��DQG�PD\EH�HYHQ�GLIIHUHQWLDEOH��*LYHQ�WKH�QDWXUH�RI�WKH�GDWD�DQG�WKH�PHDVXUHPHQW�SURFHGXUH��LW�ZLOO�EH� DVVXPHG�WKDW�WKH�PHDVXUH��PHQW�HUURU�LV�VPDOO�VR�WKDW�WKH��REVHUYHG��ILHOG�LV�FRQWLQXRXV��$V�LQGLFDWHG�LQ�6HFWLRQ����WKH�PHDQ�IXQFWLRQ�VKRXOG�

FOHDUO\�LQFOXGH�WKH�QRUWKLQJ�DQG�HDVWLQJ�RI�WKH�VXUYH\�ORFDWLRQV��,Q�DGGLWLRQ��WKHUH�LV�LQIRUPDWLRQ�LQ�WKH�ORFDWLRQV�RI�WKH�VWUHDPV�WKDW�VKRXOG�EH�WDNHQ�LQWR�DFFRXQW��2QH�FUXGH�ZD\�LV�WR�LQFOXGH��DV�I��[���WKH�KRUL]RQWDO�GLVWDQFH�RI�WKH�VXUYH\�SRLQW�WR�WKH�FORVHVW�VWUHDP��2QH�RI�WKH�PRVW�FRPPRQ�PHWKRGV�IRU�ILWWLQJ�D�

FRYDULDQFH�PRGHO�WR�GDWD�LV�WR�PDWFK�E\�H\H�D�WKH��RUHWLFDO�FXUYH�WR�WKH�HPSLULFDO�FRUUHODWLRQ�SORW�RI�WKH�GHWUHQGHG�REVHUYDWLRQV��7KLV�JXLGH�WR�LQWXLWLRQ�LV�YHU\�GXELRXV�IRU�IRXU�UHDVRQV��)LUVW��WKH�YDOXHV�LQ�

7(&+120(75,&6��129(0%(5�������92/������12����

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

$�%$<(6,$1�$1$/<6,6�2)�.5,*,1*�

WKH�SORW�DUH�YHU\�KLJKO\�FRUUHODWHG�VR�WKDW�WKH�DGGL��WLRQDO�LQIRUPDWLRQ�LQ�WKH�ODWWHU�SRLQWV�LV�YHU\�VPDOO��6HFRQG��HDFK�SRLQW�LV�EDVHG�RQ�WKH�DYHUDJH�RI�JUHDWO\�GLIIHULQJ�QXPEHUV�RI�SDLUV�RI�SRLQWV��7KLUG��PLVVSHFL��ILFDWLRQ�RI�WKH�PHDQ�IXQFWLRQ�ZLOO�KDYH�D�ELJ�HIIHFW�RQ�WKH�SRLQWV�DW�PHGLXP�WR�ODUJH�ODJV��)RXUWK��ILWWLQJ�E\�H\H�LV�SDUWLFXODUO\�LQDSSURSULDWH�IRU�VPRRWK�SUR��FHVVHV��,I�WKH�ILHOG�LV�GLIIHUHQWLDEOH�����!� ���WKHQ�WKH�VORSH�DW�WKH�RULJLQ�RI�WKH�FRUUHODWLRQ�IXQFWLRQ�ZLOO�EH�]HUR��7KXV�WKH�VPRRWKQHVV�RI�DQ�XQGHUO\LQJ�GLIIHU��HQWLDEOH�ILHOG�ZLOO�EH�GLIILFXOW�WR�GHWHUPLQH�EDVHG�RQ�WKH�HPSLULFDO�FRUUHODWLRQ�SORW��7KH�([SRQHQWLDO�PRGHO��DOWKRXJK�SURYLGLQJ�D�UHD��

VRQDEOH�LQLWLDO�FRYDULDQFH�FODVV��GRHV�QRW�DOORZ�WKH�ILHOG�WR�KDYH�GLIIHUHQWLDEOH�UHDOL]DWLRQV��*LYHQ�WKDW�D�SULRUL�WKH�IRUP�RI�WKH�FRYDULDQFH�LV�XQNQRZQ��LW�LV�XQUHDVRQDEOH�WR�H[FOXGH�WKH�SRVVLELOLW\�RI�VPRRWKHU�UDQGRP�ILHOGV��+DQGFRFN��������XQGHUWRRN�DQ�DQDO��\VLV�EDVHG�RQ�WKH�PXFK�ULFKHU�0DW�UQ�FODVV��,W�ZDV�VKRZQ�WKDW�WKH�FRUUHVSRQGLQJ�OLNHOLKRRG�VXUIDFHV�ZHUH�XQLPRGDO��DQG�WKH�FODVV�DSSHDUV�WR�EH�DQ�DSSURSULDWH�PRGHO�IRU�WKLV�WRSRJUDSKLFDO�GDWD�ZKHQ�WKH�PHDQ�IXQFWLRQ�LQFOXGHG�WKH�QRUWKLQJ�DQG�WKH�GLVWDQFH�WR�WKH�FORVHVW�VWUHDP��$V�WKH�PRGHO�IRU�WKH�PHDQ�IXQF��WLRQ�EHFDPH�PRUH�VRSKLVWLFDWHG��WKH�HVWLPDWHG�FR��YDULDQFH�VWUXFWXUHV�EHFDPH� VKRUWHU�UDQJHG�DQG�VPRRWKHU��,Q�DGGLWLRQ��WKH�XQFHUWDLQW\�LQ�WKH�SDUDPH��WHUV�LQFUHDVHV��

���� 3RVWHULRU�.QRZOHGJH�%DVHG� RQ�D�)ODW�0HDQ�

,QLWLDOO\�ZH�ZLOO�HQWHUWDLQ�WKH�PRGHO�ZLWK�D�FRQVWDQW�PHDQ��7KH�PDUJLQDO�SRVWHULRU�IRU�WKH�VPRRWKQHVV�SD��UDPHWHU�EDVHG�RQ�WKH�XQLIRUP�SULRU�IRU�WKH�VPRRWKQHVV�DQG�UDQJH�SDUDPHWHUV�LV�JLYHQ�LQ�)LJXUH����

!���

&�����

�� ���� ?�/B�

���

2�

�R� ���

���� ���� ���� ����VPRRWKQHVV�

)LJXUH���� 3RVWHULRU�'LVWULEXWLRQ�IRU�WKH�6PRRWKQHVV� 3D��UDPHWHU�%DVHG� RQ�WKH�0DWHUQ�0RGHO�:LWK�&RQVWDQW�0HDQ��

7KH�PDVV�RI�WKH�GLVWULEXWLRQ�LV�EHWZHHQ���� � ����DQG���� � ����� 7KH�PRGH�LV�VOLJKWO\�EHORZ���� � ���ZKLFK�FRUUHVSRQGV�WR�:KLWWOHV�FRYDULDQFH�IXQFWLRQ��:KLWWOH��������������,QWHUHVWLQJO\��:KLWWOH�UHJDUGHG�WKLV�PRGHO�DV�WKH�QDWXUDO�H[WHQVLRQ�RI�WKH�([SRQHQWLDO�PRGHO�� ��� � �� IURP�RQH�WR�WZR�GLPHQVLRQV��,W�FRU��UHVSRQGV�WR�D�UDQGRP�ILHOG�ZLWK�FRQWLQXRXV�UHDOL��]DWLRQV�WKDW�DUH�RQ�WKH�PDUJLQ�RI�PHDQ�VTXDUHG�GLI��IHUHQWLDELOLW\��)RU���� !� ��WKH�ILHOG�LV�PHDQ�VTXDUHG�GLIIHUHQWLDEOH��,W�LV�LQWHUHVWLQJ�WR�QRWH�WKDW�WKH�UDWLR�RI�WKH�GHQVLW\�DW�WKH�PRGH�WR�WKH�GHQVLW\�DW�WKH�([��SRQHQWLDO�PRGHO�LV�DERXW������VR�WKH�([SRQHQWLDO�DSSHDUV�WRR�URXJK�IRU�WKLV�ILHOG��6XFK�SRVWHULRU�GHQ��VLWLHV�DUH�D�XVHIXO�WRRO�IRU�GHVFULELQJ�DQG�XQGHUVWDQG��LQJ�WKH�EHKDYLRU�RI�WKH�SKHQRPHQD�XQGHUO\LQJ�WKH�GDWD��2I�FRXUVH��DOWHUQDWLYH�SULRU�GLVWULEXWLRQV�FDQ�HDVLO\�

EH�XVHG��2QH�FRXOG�H[SUHVV�SULRU�NQRZOHGJH�DERXW������D�� E\�WDNLQJ�WKH�PDUJLQDO�SULRU�RI������D�� WR�EH�WKH�XVXDO�*DXVVLDQ�JDPPD�FRQMXJDWH�SULRU�IURP�JHQHUDOL]HG�OHDVW�VTXDUHV��$Q�LQIRUPDWLYH�SULRU�IRU����FRXOG�GHHPSKDVL]H�VPRRWKQHVVHV�OHVV�WKDQ�D�KDOI�RU�PXFK�JUHDWHU�WKDQ�WZR��WKH�UDWLRQDOH�EHLQJ�WKDW�ZH�GR�QRW�H[SHFW�WKH�UHDOL]DWLRQV�WR�EH�GLVFRQWLQXRXV�RU�PXFK�VPRRWKHU�WKDQ�WZLFH�GLIIHUHQWLDEOH��6XFK�D�SULRU�GLVWULEXWLRQ�ZRXOG�KDYH�OLWWOH�HIIHFW�RQ�WKH�SUH��GLFWLYH�GLVWULEXWLRQ�DV�WKH�OLNHOLKRRG�SODFHV�OLWWOH�ZHLJKW�RQ�VPRRWKQHVV�YDOXHV�LQ�WKDW�UDQJH��

���� %D\HVLDQ�3UHGLFWLRQ�%DVHG� RQ�WKH�0DWHUQ�&ODVV�

7KH�ORFDWLRQ�FKRVHQ�WR�EH�SUHGLFWHG�LV�WKH�FHQWHU�RI�WKH�UHJLRQ�>DW������������RQ�)LJ���@��,W�ZDV�FKRVHQ�WR�EH�UHDVRQDEO\�GLVWDQW�IURP�WKH�VXUYH\�ORFDWLRQV��)LJXUH���SUHVHQWV�WKH�SUHGLFWLYH�GHQVLWLHV�EDVHG�RQ�

WKH�0DW�UQ�PRGHO�ZLWK�FRQVWDQW�PHDQ�IXQFWLRQ��7KH�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ�EDVHG�RQ�WKH�PD[L��PXP�OLNHOLKRRG�HVWLPDWRU��0/(�� �GD����� � �������������������LV�*DXVVLDQ�FHQWHUHG�DW�����IHHW�ZLWK�D�VWDQGDUG�GHYLDWLRQ�RI�DERXW����IHHW��,W�LV�TXLWH�FORVH�LQ�VKDSH�WR�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ�XQGHU�WKH�PRGHO��+HQFH�SUREDELOLW\�UHJLRQV�EDVHG�RQ�WKLV�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ�ZLOO�EH�VLPLODU�WR�WKRVH�XQGHU�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ������ $VVHVVLQJ� 3DUWLFXODU�&RYDULDQFH�)XQFWLRQV�

5LSOH\�������� LQYHVWLJDWHG�FRYDULDQFH�IXQFWLRQV�EDVHG�RQ�ILWWLQJ�E\�H\H�WKH�HPSLULFDO�FRUUHODWLRQ�IXQF��WLRQ��7KH�PRGHO�VXJJHVWHG�E\�:DUQHV�DQG�5LSOH\��������DQG�5LSOH\���������DJDLQ�EDVHG�RQ�HPSLULFDO�FRUUHODWLRQ�SORWV��LV�([SRQHQWLDO�ZLWK�VWDQGDUG�GH��YLDWLRQ����IHHW�DQG�UDQJH���XQLWV�>�G����� � �����������������LQ�RXU�QRWDWLRQ@�DQG�FRQVWDQW�PHDQ��7KH�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ�EDVHG�RQ�WKLV�HVWLPDWH�LV�*DXVVLDQ�FHQWHUHG�DW�����IHHW�ZLWK�D�VWDQGDUG�GH��YLDWLRQ�RI�DERXW����IHHW��)LJ������3UREDELOLW\�LQWHUYDOV�

7(&+120(75,&6��129(0%(5�������92/������12����

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

0$5.�6��+$1'&2&.�$1'�0,&+$(/�/��67(,1�

�������������

X��

F�&�����(�F��

��

���� �� ?�

?<��A�

����A���� ��

����

UDQJH��IHHW������ �������

��

���� ���� ���� ����HOHYDWLRQ��IHHW��

���� ���� ���

)LJXUH����3UHGLFWLYH�'LVWULEXWLRQV�%DVHG�RQ�WKH�0DWHUQ�0RGHO�:LWK�&RQVWDQW�0HDQ�� ��%D\HVLDQ�� ��� %DVHG� RQ�D�)LW�E\�(\H���� ���%DVHG� RQ�WKH�0/(��7KH�SOXJ�LQ�GLVWULEXWLRQV�DUH�EDVHG�RQ�WKH�0/(�DQG�WKH�YDOXH�VXJJHVWHG�E\�:DUQHV�DQG�5LSOH\���������

EDVHG� RQ� WKLV�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ�ZLOO�PDUNHGO\�GLIIHU�IURP�WKRVH�EDVHG�RQ�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ��7KH�ODWWHU�LV�D�EHWWHU�UHIOHF��WLRQ�RI�WKH�XQFHUWDLQW\�LQ�WKH�FRYDULDQFH�VWUXFWXUH�DQG�VKRXOG�EH�UHJDUGHG�DV�D�VXSHULRU�UHIHUHQFH�IRU�LQIHUHQFH��)RU�H[DPSOH��WKH�%D\HVLDQ�����SUHGLF��WLRQ�LQWHUYDO�KDV�QRPLQDOO\�����SUREDELOLW\�XQGHU�WKH�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ��$OWHUQDWLYHO\��WKH�QRPLQDOO\�����LQWHUYDO�IRU�WKH�SOXJ�LQ�SUHGLFWLYH�GLV��WULEXWLRQ�DFWXDOO\�KDV��������SUREDELOLW\��

���� ,QFRUSRUDWLQJ�$GGLWLRQDO�,QIRUPDWLRQ�LQ�WKH�0HDQ�

7KH�PRGHO�ZLWK�D�FRQVWDQW�PHDQ�PD\�EH�LQDGH��TXDWH�DV�FRPSDUHG�WR�WKH�PRGHOV�LQFOXGLQJ�WKH�VXUYH\�ORFDWLRQV�DQG�GLVWDQFH�WR�VWUHDPV�DV�UHJUHVVRUV�EH��FDXVH�RI�QRQVWDWLRQDULW\�LQ�WKH�PHDQ��0DUGLD�DQG�:DWNLQV��������7KH�ORFDWLRQ�FKRVHQ�WR�EH�SUHGLFWHG�DW�LV�WKH�VXUYH\HG�ORFDWLRQ�FORVHVW�WR�WKH�PRVW�QRUWK��HUQ�MXQFWLRQ�RI�WKH�VWUHDP�>DW������������RQ�)LJ���@��,W�ZDV�FKRVHQ�WR�EH�UHDVRQDEO\�FORVH�WR�WKH�RWKHU�VXUYH\�ORFDWLRQV��7KH�PRGHOV�ZLOO�EH�GHYHORSHG�ZLWK��RXW�WKLV�ORFDWLRQ��DQG�WKH�HOHYDWLRQ�WKHUH�ZLOO�EH�XVHG�DV�D�FKHFN�RQ�WKH�SUHGLFWLRQV��)LJXUH���LV�WKH�SURILOH�ORJ�OLNHOLKRRG�VXUIDFH�XQGHU�

WKLV�PRGHO��)LJXUH���SUHVHQWV�WKH�SUHGLFWLYH�GHQVLWLHV�EDVHG�RQ�WKH�0DWHUQ�PRGHO�ZLWK�WKLV�PRUH�VRSKLV��WLFDWHG�PHDQ�IXQFWLRQ�DQG�D�XQLIRUP�SULRU�RQ�WKH�VPRRWKQHVV�DQG�UDQJH�SDUDPHWHUV��7KH�SOXJ�LQ�SUH��GLFWLYH�GLVWULEXWLRQ�EDVHG�RQ�WKH�0/(����� ��� � ����������������LV�*DXVVLDQ�FHQWHUHG�DW�����IHHW�ZLWK�D�VWDQ��GDUG�GHYLDWLRQ�RI�DERXW�����IHHW��7KH�HIIHFW�RI�WKH�

)LJXUH����3URILOH�/RJ�OLNHOLKRRG�IRU�WKH�0DWHUQ�0RGHO�:LWK�0HDQ�%DVHG�RQ�WKH�1RUWKLQJ�DQG�WKH�'LVWDQFH�WR�&ORVHVW�6WUHDP�����0DWHUQ�0/(��[��6TXDUHG�([SRQHQWLDO�0/(��7KH�REVHUYHG�HOHYDWLRQ�DW�WKLV�ORFDWLRQ�LV�UHSUHVHQWHG�E\�WKH�VPDOO�KRUL]RQWDO�EDU�UHIOHFWLQJ�WKH�UHFRUGLQJ�DFFXUDF\��

DGGLWLRQDO�UHJUHVVRUV�LV�WR�VXEVWDQWLDOO\�UHGXFH�WKH�YDULDELOLW\�RI�WKH�SUHGLFWLYH�GLVWULEXWLRQV��7KUHH�DOWHUQDWH�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQV�

EDVHG�RQ�WKH�0/(V� XQGHU�WKH�([SRQHQWLDO�DQG�6TXDUHG�([SRQHQWLDO�FODVVHV�DQG�WKH�PD[LPXP�D�SRV��WHULRUL��0$3��0DWHUQ�YDOXH�DUH�DOVR�UHSUHVHQWHG��7KH�SOXJ�LQ�GLVWULEXWLRQV�GLIIHU�VXEVWDQWLDOO\�IURP�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ��6PRRWKHU�HVWL��PDWHG�PRGHOV�FRUUHVSRQG�WR�OHVV�SHUFHLYHG�XQFHU��WDLQW\�LQ�WKH�SUHGLFWLRQ��)RU�H[DPSOH��WKH�QRPLQDOO\�

��&0�

U�

G�

8��Q�

D��

��,��

/2�

�� ��W���

�������

R������� ���� ���� ���� ���� ����

HOHYDWLRQ��IHHW��

)LJXUH����3UHGLFWLYH�'LVWULEXWLRQV�%DVHG�RQ�WKH�0DWHUQ�0RGHO�:LWK�0HDQ�8VLQJ�WKH�1RUWKLQJ�DQG�WKH�'LVWDQFH�WR�&ORVHVW�6WUHDP�� ��� %D\HVLDQ�� ������ ([SRQHQWLDO�0/(�� �� ��� 0DWHUQ�0$3�� �� ���0DWHUQ�0/(�������� 6TXDUHG� ([SRQHQWLDO�0/(��

7(&+120(75,&6��129(0%(5�������92/������12����

��&�a-�

����8��

9��

��

��

�U�F� /2�

D"�

F����

,�,� ,� ,� ,� ,� ,� ,� ,� ,� ,� ,� ,� ,�

����

��,��

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

$�%$<(6,$1�$1$/<6,6�2)�.5,*,1*�

����FRQILGHQFH�LQWHUYDO�XQGHU�WKH�PD[LPXP�OLNH��OLKRRG�0DWHUQ�PRGHO�KDV�����SRVWHULRU�SUREDELOLW\�FRQWHQW��

���� 6HQVLWLYLW\�WR�3ULRU�6SHFLILFDWLRQ�

+RZ�VHQVLWLYH�LV�RXU�LQIHUHQFH�WR�WKH�FKRLFH�RI�SULRU�GLVWULEXWLRQV"�,Q�WKHVH�H[DPSOHV�D�SULRU�GLVWUL��EXWLRQ�XQLIRUP�RQ�WKH�SRVLWLYH�YDOXHV�RI�WKH�VPRRWK��QHVV�SDUDPHWHU�LV�XVHG��$OWHUQDWLYHO\�RQH�FRXOG�XVH�WKH�SULRU�

��SU����� �

��� �� �����

UHIOHFWLQJ�WKH�EHOLHI�WKDW�ODUJHU�VPRRWKQHVV�YDOXHV�DUH�D�SULRUL�OHVV�OLNHO\�WKDQ�VPDOOHU�YDOXHV��3K\VLFDOO\��WKH�EHOLHI�LV�WKDW�WKH�ILHOG�LV�PRUH�OLNHO\�WR�EH�RQH�RU�WZR�WLPHV�GLIIHUHQWLDEOH�UDWKHU�WKDQ��VD\������WLPHV��7KLV�SULRU�LV�XQLIRUP�IRU������� �� ���� RQ�>����@��)LJXUH���FRPSDUHV�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWUL��

EXWLRQ�XVLQJ�WKLV�SULRU�GHHPSKDVL]LQJ�ODUJHU�VPRRWK��QHVV�YDOXHV�WR�WKH�XQLIRUP�SULRU�XVHG�LQ�)LJXUH����7KH�HIIHFW�LV�WR�LQFUHDVH�WKH�XQFHUWDLQW\�LQ�WKH�SUH��GLFWLRQ��LQ�OLQH�ZLWK�WKH�OHVV�VPRRWK�PRGHOV��7KH�LQIOXHQFH�DSSHDUV�WR�EH�LQVHQVLWLYH�WR�PRGHUDWH�FKDQJHV�LQ�WKH�SULRU�IRU����� %DVHG�RQ�ILJXUHV�QRW�SUHVHQWHG�KHUH��ZH�ILQG�WKDW�XVLQJ�D�XQLIRUP�SULRU�IRU�D�LQVWHDG�RI�WKH�XVXDO���D�UHVXOWV�LQ�D�SUHGLFWLYH�GLVWULEXWLRQ�ZLWK�VOLJKWO\�WKLQQHU�WDLOV�DQG�WKDW�WKH�SUHGLFWLYH�GLV��WULEXWLRQ�LV�LQVHQVLWLYH�WR�FKDQJHV�LQ�WKH�SULRU�IRU����$OWKRXJK�WKH�0/(�LV�D�JRRG�UHSUHVHQWDWLYH�YDOXH��

WKH�RYHUDOO�IODWQHVV�RI�WKH�OLNHOLKRRGV�ZRXOG�VXJJHVW�DJDLQVW�FKRRVLQJ�DQ\�SDUWLFXODU�PHPEHU�DV�WKH��WUXWK���

�F�

��2�

D���R�

R�

���

��2� +�

���� ���� ���� ���� ���� ����HOHYDWLRQ��IHHW��

)LJXUH����3UHGLFWLYH�'LVWULEXWLRQV�%DVHG�RQ�WKH�0DWHUQ�0RGHO�8QGHU�D�8QLIRUP�3ULRU�DQG�D�3ULRU�'HHPSKDVL]LQJ�/DUJHU�6PRRWKQHVV�9DOXHV���� ��3ULRU�'HHPSKDVL]LQJ�6PRRWKQHVV����� %DVHG�RQ�8QLIRUP�3ULRU��7KH�REVHUYHG�HOHYDWLRQ�DW�WKLV�ORFDWLRQ�LV�UHSUHVHQWHG�E\�WKH�VPDOO�KRUL]RQWDO�EDU�UHIOHFWLQJ�WKH�UHFRUGLQJ�DFFXUDF\��

&OHDUO\�ZH�QHHG�DGGLWLRQDO�LQIRUPDWLRQ�EHIRUH�ZH�FDQ�FKRRVH�EHWZHHQ�PHPEHUV�RI�WKH�VDPH�FODVV��7KH�VDPH�FRPPHQWV�DSSO\�WR�WKH�FKRLFH�RI�PHDQ�PRGHO��,W�LV�WHPSWLQJ�WR�EDVH�WKH�GHFLVLRQV�RQ�WKH�FKDQJHV�LQ�ORJ�OLNHOLKRRG��,W�LV�VWLOO�DQ�RSHQ�TXHVWLRQ�DV�WR�WKH�YDOLGLW\�RI�WKLV�SURFHGXUH�LQ�WKH�IDFH�RI�WKH�LQWHUGH��SHQGHQFH�RI�WKH�PHDQ�DQG�FRYDULDQFH�VWUXFWXUHV��

��� &21&/86,21�

7KH�NULJLQJ�SURFHGXUH�LV�RIWHQ�GHVFULEHG�DV�RSWL��PDO��0DWKHURQ�������EHFDXVH�LW�SURGXFHV�RSWLPDO�SUHGLFWLRQV�ZKHQ�WKH�FRYDULDQFH�VWUXFWXUH�RI�WKH�UDQ��GRP�ILHOG�LV�NQRZQ��,I�WKH�FRYDULDQFH�VWUXFWXUH�LV�QRW�NQRZQ�DQG�QHHGV�WR�EH�HVWLPDWHG��WKHQ�WKLV�SULPDU\�PRWLYDWLRQ�IRU�NULJLQJ�LV�LQ�TXHVWLRQ��,W�LV�WKHQ�QHF��HVVDU\�WR�DVVHVV�WKH�HIIHFW�RI�WKH�IDFW�WKDW�WKH�PRGHO�LV�HVWLPDWHG�UDWKHU�WKDQ�NQRZQ�RQ�WKH�SUHGLFWLRQ�DQG�WKH�DVVRFLDWHG�SUHGLFWLRQ�XQFHUWDLQW\��,Q�WKLV�DUWLFOH��ZH�KDYH�VHHQ�WKDW�WKH�%D\HVLDQ�SDUDGLJP�SURYLGHV�D�IUDPHZRUN�LQ�ZKLFK�WR�DQDO\]H�WKH�SHUIRUPDQFH�RI�WKH�HVWLPDWHG�NULJLQJ�SUHGLFWRU��,Q�FRQFOXVLRQ��D�EHWWHU�DSSURDFK�ZRXOG�EH�WR�EDVH�

LQIHUHQFH�RQ�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ��7KLV�DSSURDFK�WDNHV�LQWR�DFFRXQW�WKH�XQFHUWDLQW\�DERXW�WKH�FRYDULDQFH�IXQFWLRQ�H[SUHVVHG�LQ�WKH�OLNHOLKRRG�VXUIDFH�DQG�LJQRUHG�E\�SRLQW�HVWLPDWHV�RI�WKH�FRYDUL��DQFH�IXQFWLRQ��,W�DOVR�DOORZV�WKH�SHUIRUPDQFH�RI�WKH�XVXDO�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQ�EDVHG�RQ�DQ�HV��WLPDWHG�FRYDULDQFH�VWUXFWXUH�WR�EH�FULWLTXHG�ZLWKLQ�D�ZLGHU�IUDPHZRUN��7KH�UHVXOWV�DOVR�VXJJHVW�WKDW�ILW��WLQJ�WKH�HPSLULFDO�FRUUHODWLRQ�IXQFWLRQ�E\�H\H�PD\�OHDG�WR�SOXJ�LQ�SUHGLFWLYH�GLVWULEXWLRQV�WKDW�GLIIHU�PDUNHGO\�IURP�WKH�%D\HVLDQ�SUHGLFWLYH�GLVWULEXWLRQ��7KH�0/(�PD\�EH�WKH�EHVW�VLQJOH�UHSUHVHQWDWLYH�DYDLO��DEOH��EXW�WKLV�UHGXFWLRQ�LWVHOI�FDQ�EH�GHWULPHQWDO�WR�WKH�LQIHUHQFH��VHH�)LJ������

>5HFHLYHG�0DUFK�������5HYLVHG�'HFHPEHU������@�

5()(5(1&(6�

$EUDPRZLW]��0���DQG�6WHJXQ��,��$����������+DQGERRN�RI�0DWK��HPDWLFDO�)XQFWLRQV��1HZ�<RUN��'RYHU��

%R[��*�� (�� 3���DQG�7LDR��*��&�� ��������%D\HVLDQ�,QIHUHQFH�LQ�6WDWLVWLFDO�$QDO\VLV��5HDGLQJ��0$��$GGLVRQ�:HVOH\��

%URHPHOLQJ��/��'�� ��������%D\HVLDQ�$QDO\VLV�RI�/LQHDU�0RGHOV��1HZ�<RUN��0DUFHO�'HNNHU��

%URHPHOLQJ��/��'���DQG�6KDDUDZ\��6�����������$�%D\HVLDQ�$QDO��\VLV�RI�7LPH�6HULHV���LQ�%D\HVLDQ�,QIHUHQFH�DQG�'HFLVLRQ�7HFK��QLTXHV��(VVD\V�LQ�+RQRU�RI�%UXQR�GH�)LQHWWL��HGV��3��.��*RHO�DQG�$��=HOOQHU��$PVWHUGDP��(OVHYLHU��SS�����������

&RG\��:��-�����������63(&)81�$� 3RUWDEOH�6SHFLDO�)XQFWLRQ�3DFNDJH���LQ�1HZ�&RPSXWLQJ�(QYLURQPHQWV��0LFURFRPSXWHUV�LQ�/DUJH�6FDOH�6FLHQWLILF�&RPSXWLQJ��HG��$��:RXN��3KLODGHO��SKLD��6RFLHW\�RI�,QGXVWULDO�DQG�$SSOLHG�0DWKHPDWLFV��SS���������

&UDPHU��+���DQG�/HDGEHWWHU��0��5����������6WDWLRQDU\�DQG�5HODWHG�6WRFKDVWLF�3URFHVVHV��1HZ�<RUN��-RKQ�:LOH\��

7(&+120(75,&6��129(0%(5�������92/������12����

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions

0$5.�6��+$1'&2&.�$1'�0,&+$(/�/��67(,1�

&UHXWLQ��-��'��� DQG�2EOHG��&�� ���������2EMHFWLYH�$QDO\VHV�DQG�0DSSLQJ�7HFKQLTXHV�IRU�5DLQIDOO�)LHOGV��$Q�2EMHFWLYH�&RP��SDULVRQ���:DWHU�5HVRXUFHV�5HVHDUFK���������������

'DYLV��-��&����������6WDWLVWLFV�DQG�'DWD�$QDO\VLV�LQ�*HRORJ\��1HZ�<RUN��-RKQ�:LOH\��

'RQJDUUD��-��-���DQG�'X�&UR]��-�����������'LVWULEXWLRQ�RI�0DWK��HPDWLFDO�6RIWZDUH�YLD�(OHFWURQLF�0DLO���7HFKQLFDO�5HSRUW�0&6��70�����0DWKHPDWLFV�DQG�&RPSXWHU�6FLHQFH�'LYLVLRQ��$UJRQQH�1DWLRQDO�/DERUDWRU\��$UJRQQH��,/��������

+DQGFRFN��0��6�����������,QIHUHQFH�IRU�6SDWLDO�*DXVVLDQ�5DQGRP�)LHOGV�:KHQ�WKH�2EMHFWLYH�LV�3UHGLFWLRQ���XQSXEOLVKHG�3K�'��WKHVLV��8QLYHUVLW\�RI�&KLFDJR��'HSW��RI�6WDWLVWLFV��

+DUULVRQ��3��-���DQG�6WHYHQV��&��)�����������%D\HVLDQ�)RUHFDVWLQJ���ZLWK�GLVFXVVLRQ���-RXUQDO�RI�WKH�5R\DO�6WDWLVWLFDO�6RFLHW\��6HU��%���������������

+RHNVHPD��5��-���DQG�.LWDQLGLV��3��.�����������$QDO\VLV�RI�WKH�6SDWLDO�6WUXFWXUH�RI�3URSHUWLHV�RI�6HOHFWHG�$TXLIHUV���:DWHU�5HVRXUFHV�5HVHDUFK���������������

-RQHV��5�� +�� ���������)LWWLQJ�D� 6WRFKDVWLF�3DUWLDO�'LIIHUHQWLDO�(TXDWLRQ�WR�$TXLIHU�+HDG� 'DWD��� 6WRFKDVWLF�+\GURORJ\�DQG�+\GUDXOLFV��������������

.LWDQLGLV��3�� .�� �������� �6WDWLVWLFDO�(VWLPDWLRQ�RI�3RO\QRPLDO�*HQHUDOL]HG�&RYDULDQFH�)XQFWLRQV�DQG�+\GURORJLF�$SSOLFD��WLRQV���:DWHU�5HVRXUFHV�5HVHDUFK���������������

.LWDQLGLV��3��.���DQG�/DQH��5��:�����������0D[LPXP�/LNHOLKRRG�3DUDPHWHU�(VWLPDWLRQ�RI�+\GURORJLF�6SDWLDO�3URFHVVHV�E\�WKH�*DXVV�1HZWRQ�0HWKRG���-RXUQDO�RI�+\GURORJ\�������������

/H��1��'���DQG�=LGHN��-��9�����������,QWHUSRODWLRQ�:LWK�8QFHUWDLQ�6SDWLDO�&RYDULDQFH��$�%D\HVLDQ�$OWHUQDWLYH�WR�.ULJLQJ���-RXU��QDO�RI�0XOWLYDULDWH�$QDO\VLV���������������

0DUGLD��.��9���DQG�0DUVKDOO��5��-�����������0D[LPXP�/LNHOLKRRG�(VWLPDWLRQ�RI�0RGHOV� IRU�5HVLGXDO� &RYDULDQFH� LQ�6SDWLDO�5HJUHVVLRQ���%LRPHWULND���������������

0DUGLD��.��9���DQG�:DWNLQV��$��-�����������2Q�0XOWLPRGDOLW\�RI�WKH�/LNHOLKRRG�LQ�WKH�6SDWLDO�/LQHDU�0RGHO���%LRPHWULND��������������

0DW�UQ��%����������6SDWLDO�9DULDWLRQ���QG�HG����%HUOLQ��6SULQJHU��9HUODJ��

0DWKHURQ��*�� ��������/HV�9DULDEOHV�5HJLRQDOLVHHV�HW�/HXU�(VWL��PDWLRQ��3DULV��0DVVRQ��

0HMLD��-��0���DQG�5RGULJXH]�,WXUEH��,�����������2Q�WKH�6\QWKHVLV�RI�5DQGRP�)LHOG�6DPSOLQJ�)URP�WKH�6SHFWUXP��$Q�$SSOLFDWLRQ�WR�WKH�*HQHUDWLRQ�RI�+\GURORJLF�6SDWLDO�3URFHVVHV���:DWHU�5H��VRXUFHV�5HVHDUFK���������������

2PUH��+�����������%D\HVLDQ�.ULJLQJ�0HUJLQJ�2EVHUYDWLRQV�DQG�4XDOLILHG�*XHVVHV�LQ�.ULJLQJ���0DWKHPDWLFDO�*HRORJ\��������������

2PUH��*��0���DQG�+DOYDUVHQ��'�� )�� ���������$�%D\HVLDQ�$S��SURDFK�WR�.ULJLQJ���LQ�3URFHHGLQJV�RI�WKH�7KLUG�,QWHUQDWLRQDO�*HRVWDWLVWLFV�&RQJUHVV�,��HG��0��$UPVWURQJ��'RUGUHFKW��$FD��GHPLF�3XEOLVKHUV��SS���������

3LO]��-����������%D\HVLDQ�(VWLPDWLRQ�DQG�([SHULPHQWDO�'HVLJQ�LQ�/LQHDU�5HJUHVVLRQ�0RGHOV��1HZ�<RUN��-RKQ�:LOH\��

5LSOH\��%��'�� ��������6SDWLDO�6WDWLVWLFV��1HZ�<RUN��-RKQ�:LOH\����������6WDWLVWLFDO�,QIHUHQFH�IRU�6SDWLDO�3URFHVVHV��&DP��

EULGJH��0$��&DPEULGJH�8QLYHUVLW\�3UHVV��6ZLW]HU��3�����������,QIHUHQFH�IRU�6SDWLDO�$XWRFRUUHODWLRQ�)XQF��WLRQV����1$72�$6,�6HU��&��9RO��������LQ�*HRVWDWLVWLFV�IRU�1DW��XUDO�5HVRXUFHV�&KDUDFWHUL]DWLRQ��HG��*��9HUO\��0��'DYLG��$��*��-RXUQHO��DQG�$��0DUHFKDO��%RVWRQ��5HLGHO��SS�����������

:DUQHV��-��-�����������$�6HQVLWLYLW\�$QDO\VLV�IRU�8QLYHUVDO�.ULJ��LQJ���0DWKHPDWLFDO�*HRORJ\���������������

:DUQHV��-��-���DQG�5LSOH\��%��'�� ���������3UREOHPV�:LWK�/LNH��OLKRRG�(VWLPDWLRQ�RI�&RYDULDQFH�)XQFWLRQV�RI�6SDWLDO�*DXVVLDQ�3URFHVVHV���%LRPHWULND������������������

:HVW��0���DQG�+DUULVRQ��3��-�����������0RQLWRULQJ�DQG�$GDS��WDWLRQ�LQ�%D\HVLDQ�)RUHFDVWLQJ�0RGHOV���-RXUQDO�RI�WKH�$PHU��LFDQ�6WDWLVWLFDO�$VVRFLDWLRQ���������������

:KLWWOH��3�����������2Q�6WDWLRQDU\�3URFHVVHV�LQ�WKH�3ODQH���%LR��PHWULND���������������

���������7RSRJUDSKLF�&RUUHODWLRQ��3RZHU�/DZ�&RYDULDQFH�)XQFWLRQV��DQG�'LIIXVLRQ���%LRPHWULND���������������

:RRGEXU\��$��'�� ���������%D\HVLDQ�8SGDWLQJ�5HYLVLWHG���0DWK��HPDWLFDO�*HRORJ\���������������

=HOOQHU��$����������$Q�,QWURGXFWLRQ�WR�%D\HVLDQ�,QIHUHQFH�LQ�(FRQ��RPHWULFV��1HZ�<RUN��-RKQ�:LOH\���5HSULQWHG��������

7(&+120(75,&6��129(0%(5�������92/������12����

����

This content downloaded from 128.97.55.183 on Tue, 14 Jan 2014 19:23:49 PMAll use subject to JSTOR Terms and Conditions