One of the advantages of a Frequency-Domain Adaptive Filter (FDAF’) is that one can achieve convergence at a constant rate over the whole frequency range by choosing the adaptation constant for each frequency bin I equal to the overall adaptation constant divided by an estimate of the input power at this frequency bin. A commonly used method, applied in this paper, to estimate the input power i...

A probability weighting function w(p) for an objective probability p in decision under risk plays a pivotal role in Kahneman-Tversky’s prospect theory. Although recent studies in econophysics and neuroeconomics widely utilized probability weighting functions, psychophysical foundations of the probability weighting functions have been unknown. Notably, a behavioral economist Prelec (1998) axioma...

This paper proposes two newweighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second weighting method simply assigns heavier weights to forecasts that use more recent information. Simulation resu...