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Stochastic Game Theory: For Playing Games, Not Just for Doing Theory

Author

Listed:
  • Steven Stern
  • Hari Mukarjee

Abstract

This article presents a two-stage estimation procedure that uses an ad hoc but very easily implemented isotonization of a kernel estimator. This procedure yields an isotonic estimator with the convergence properties of the kernel estimator. Although the isotonization in the second stage does not satisfy the least squares condition, this hybrid estimator may be considered to be a multidimensional generalization of similar procedures for the one-dimensional case suggested by Friedman and Tibshirani and by Mukarjee. We derive some of the asymptotic properties of our estimator and demonstrate other statistical properties with Monte Carlo studies. We conclude by providing a real data example.

Suggested Citation

  • Steven Stern & Hari Mukarjee, 1994. "Stochastic Game Theory: For Playing Games, Not Just for Doing Theory," Virginia Economics Online Papers 390, University of Virginia, Department of Economics.
    • Handle: RePEc:vir:virpap:390
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    More about this item

    Keywords

    Isotonic; Multiargument; Nonparametric;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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