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Simulation has become a standard tool in statistics because it may be the only tool available for analysing some … classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address …
Persistent link: https://www.econbiz.de/10010707776
In this paper, we describe two computational methods for calculating the cumulative distribution function and the upper quantiles of the maximal difference between a Brownian bridge and its concave majorant. The first method has two different variants that are both based on a Monte Carlo...
Persistent link: https://www.econbiz.de/10010708585
Casella and Robert (1996) presented a general Rao--Blackwellisation principle for accept-reject and Metropolis-Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at a high cost in computing and storage. Adopting a completely different...
Persistent link: https://www.econbiz.de/10010861432
Managers in the fundraising and public sectors face the constant challenge of soliciting donations from a population who may or may not have donated before. Rather than merely asking respondents what they wish to donate, it is standard practice to present a set of suggested amounts – the...
Persistent link: https://www.econbiz.de/10010905374
Bayesian approach is preferable since it allows to treat general state space models and makes easier the simulation based … Bayesian inference approaches for latent factor models. Moreover, we provide a review of simulation based filtering methods in …
Persistent link: https://www.econbiz.de/10010707256
Gibbs sampling has had great success in the analysis of mixture models. In particular, the “latent variable” formulation of the mixture model greatly reduces computational complexity. However, one failing of this approach is the possible existence of almost-absorbing states, called trapping...
Persistent link: https://www.econbiz.de/10011072475
Private equity funds are a very important actor of the financial market. Their performance often exceeds the market performance. To establish a private equity fund, there are some agreements between the capital providers (limited partners) and the fund managers (the general partners). This...
Persistent link: https://www.econbiz.de/10010705811
Si Dooley (2002, p. 829) considère que « la simulation a une popularité croissante en tant qu’approche méthodologique … ; Rouse et Boff, 2005 ; Brabazon et O’Neill, 2006). Par ce dossier, que la Revue française de gestion consacre à la simulation … simulation. Il s’agit en effet d’une méthode de recherche puissante et originale mais encore largement sous-exploitée. Le …
Persistent link: https://www.econbiz.de/10011072183
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...
Persistent link: https://www.econbiz.de/10011166403
Persistent link: https://www.econbiz.de/10010960511