Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10011090291
In this paper we maximize the efficiency of a multivariate S-estimator under a constraint on the breakdown point. In the linear regression model, it is known that the highest possible efficiency of a maximum breakdown S-estimator is bounded above by 33% for Gaussian errors. We prove the...
Persistent link: https://www.econbiz.de/10011090479
. Moreover, robustness is important to maintain the reliability of the control chart after the occurrence of alarm observations …
Persistent link: https://www.econbiz.de/10011090480
Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity...
Persistent link: https://www.econbiz.de/10011090768
The L1-median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L1- median are available. Problem speci c algorithms can be used, but also general optimization routines. The aim is to compare dierent algorithms with respect to...
Persistent link: https://www.econbiz.de/10011091113
Whereas Operations Research has always paid much attention to optimization, practitioners judge the robustness of the ….That study defines robustness as the system's capability to maintain a short-term service measure, in a variety of environments …
Persistent link: https://www.econbiz.de/10011091252
, that WIP is minimized, while the probability of the service rate being higher than 95% still exceeds 0.90. By robustness … robustness through risk analysis, which uses Latin hypercube sampling (LHS) to estimate the probabilities of specific system … uses bootstrapping. Short-term robustness is illustrated for a four-stage production line and several productioncontrol …
Persistent link: https://www.econbiz.de/10011091481
We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...
Persistent link: https://www.econbiz.de/10011091991
study the construction of Kriging models that are robust with respect to simulation-model errors. We introduce a robustness … criterion, to quantify the robustness of a Kriging model. Based on this robustness criterion, two new methods to find robust … the influence of the Design of Computer Experiments (DoCE) on the robustness of Kriging models. …
Persistent link: https://www.econbiz.de/10011092008
-parametric heteroscedastic regression, and fitted by a localized MM-estimator, combining high robustness and large efficiency. The proposed …
Persistent link: https://www.econbiz.de/10011092158