Showing 1 - 10 of 13
This thesis is concerned with simulation output analysis. In particular, we are inter-ested in estimating the variance parameter of a steady-state output process. The estimationof the variance parameter has immediate applications in problems involving (i) the precisionof the sample mean as a...
Persistent link: https://www.econbiz.de/10009476105
We consider the problem of model assessment by risk estimation. Variousapproaches to risk estimation are considered in … proposed byDavid Haussler. Point and interval estimation based on test samples andtraining samples is discussed, with interval …
Persistent link: https://www.econbiz.de/10009442231
Previous research implementing stratification on the propensity score has generally relied on using five strata, based on prior theoretical groundwork and minimal empirical evidence as to the suitability of quintiles to adequately reduce bias in all cases and across all sample sizes. This study...
Persistent link: https://www.econbiz.de/10009475025
In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade … period). The authors refer to this framework as conditional extreme value theory (EVT). To begin, they use an AR(1)-Garch(1 … illustrates the estimation bias that exists when assuming normality is minimized for the conditional EVT approach, both for single …
Persistent link: https://www.econbiz.de/10009475704
To overcome the curse of dimensionality, dimension reduction is important andnecessary for understanding the underlying phenomena in a variety of fields.Dimension reduction is the transformation of high-dimensional data into ameaningful representation in the low-dimensional space. It can be...
Persistent link: https://www.econbiz.de/10009475737
filtering theory. (2) Thebound is developed for estimation in a continuous medium whosestructure (acoustic impedance, for … one in which they change discretely.Given these reasonable models, estimation accuracyis studied by computing a … the estimation of unknown, nonrandomreflection coefficients in a medium containing onlydiscrete reflectors; special …
Persistent link: https://www.econbiz.de/10009461036
method of model fitting than the conventional approach of maximum likelihood estimation, as it does not require iterative … of the discussion is the application of the new parameter estimation technique to multi-way contingency tables with at …
Persistent link: https://www.econbiz.de/10009481982
The estimation of human population size is important for decision making and planning. It is not uncommon that … otherwise unobserved. Capture-recapture methods originated in the estimation of animal populations in wildlife biology, and have … employ the maximum likelihood estimation technique and the Expectation-Maximization (EM) algorithm for maximization purposes …
Persistent link: https://www.econbiz.de/10009483621
This thesis investigates whether estimating the inputs of the Markowitz (1952) Mean-Variance framework using various econometric techniques leads to improved optimalportfolio allocations at the country, sector and stock levels over a number of timeperiods. We build upon previous work by using...
Persistent link: https://www.econbiz.de/10009484260
cross validation) p smoothing parameters. Theory fromCOmponent Selection and Shrinkage Operator (COSSO), reduces the problem …
Persistent link: https://www.econbiz.de/10009429662