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A New Bootstrap Test for Multiple Assets Joint Risk Testing

Ardia, David - 2017

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken ‘directly' from the observed data. The procedure is useful when one wants to summarize the test results for several...

Persistent link: https://www.econbiz.de/10012974076

A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...

Persistent link: https://www.econbiz.de/10010250513

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050

Robust Optimization in Simulation : Taguchi and Krige Combined

Dellino, Gabriella - 2009

Optimization of simulated systems is the goal of many methods, but most methods assume known environments. We, however, develop a `robust' methodology that accounts for uncertain environments. Our methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques by...

Persistent link: https://www.econbiz.de/10013155383

Robust Optimization in Simulation : Taguchi and Response Surface Methodology

Dellino, Gabriella - 2008

Optimization of simulated systems is tackled by many methods, but most methods assume known environments. This article, however, develops a 'robust' methodology for uncertain environments. This methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques by...

Persistent link: https://www.econbiz.de/10012723330

A Note on the Use of the Bootstrap for Cost Effectiveness Analysis

Fe, Eduardo - 2017

This note reconciles existing evidence on the abilities of the bootstrap with its use in the cost-effectiveness literature. We emphasise the role played by pivotal statistics to explain the ability of the bootstrap to provide asymptotic refinements for the Incremental Net Benefit statistic. The...

Persistent link: https://www.econbiz.de/10012953199

Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging

Kleijnen, Jack P. C.; Beers, Wim C. M. van; Van … - 2011

estimator uses parametric bootstrapping. Classic EI and bootstrapped EI are compared through various test functions, including …

Persistent link: https://www.econbiz.de/10014185812

Monotonicity-Preserving Bootstrapped Kriging Metamodels for Expensive Simulations

Kleijnen, Jack P. C.; Beers, Wim C. M. van - 2009

metamodel that preserves this known shape, this article uses bootstrapping (or resampling). Parametric bootstrapping assuming …-event simulation) using distribution-free bootstrapping. In stochastic simulation, the analysts should simulate each input combination … variation, so the Kriging metamodel does not need to interpolate the average outputs. Bootstrapping provides a simple method for …

Persistent link: https://www.econbiz.de/10014203752

Statistical Testing of Optimality Conditions in Multiresponse Simulation-Based Optimization (Revision of 2005-81)

Bettonvil, Bert; del Castillo, Enrique; Kleijnen, Jack P. C. - 2007

are binding; it applies bootstrapping (resampling) to test the estimated gradients in the KKT conditions. The new …

Persistent link: https://www.econbiz.de/10014049484

Statitical Testing of Optimality Conditions in Multiresponse Simulation-Based Optimization

Bettonvil, Bert; del Castillo, Enrique; Kleijnen, Jack P. C. - 2005

This paper derives a novel procedure for testing the Karush-Kuhn-Tucker (KKT) first-order optimality conditions in models with multiple random responses.Such models arise in simulation-based optimization with multivariate outputs. This paper focuses on expensive simulations, which have small...

Persistent link: https://www.econbiz.de/10014062609

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