A non-parametric approach for estimating consumer valuation distributions using second price auctions

• DOI: 10.48550/arxiv.2312.07882
• Publication Date: 2023-01-01
• Authors: Sourav Mukherjee; Rohit K. Patra; Kshitij Khare

We focus on online second price auctions, where bids are made sequentially, and the winning bidder pays maximum of second-highest bid a seller specified reserve price. For many such does not see all or total number bidders accessing auction, only observes current selling prices throughout course auction. develop novel non-parametric approach to estimate underlying consumer valuation distribution based this data. Previous approaches in literature use final assume knowledge bidders. The resulting estimate, particular, can be used by compute optimal profit-maximizing for product. Our is free tuning parameters, we demonstrate its computational statistical efficiency variety simulation settings, also an Xbox 7-day auction dataset eBay.