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Robust Kriging models in computer experiments
Park, Taejin; Yum, Bongjin; Hung, Ying; Jeong, Young-Seon; … - In: Journal of the Operational Research Society : OR 67 (2016) 4, pp. 644-653
Persistent link: https://www.econbiz.de/10011516639
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Prediction for big data through Kriging : small sequential and one-shot designs
Kleijnen, Jack P. C.; Beers, Wim C. M. van - 2018
Persistent link: https://www.econbiz.de/10011872235
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Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation
Chen, Xi; Zhou, Qiang - In: European journal of operational research : EJOR 262 (2017) 2, pp. 575-585
Persistent link: https://www.econbiz.de/10011798797
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Simulation experiments in practice : statistical design and regression analysis
Kleijnen, Jack P. C. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003414120
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Maximin designs for computer experiments
Husslage, Bartholomeus Geradus Martinus - 2006
Persistent link: https://www.econbiz.de/10003463012
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Correcting for primary study misspecifications in meta-analysis
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2005
In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...
Persistent link: https://www.econbiz.de/10011343283
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Simulation experiments in practice : statistical design and regression analysis
Kleijnen, Jack P. C. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003656714
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Simulation Experiments in Practice : Statistical Design and Regression Analysis
Kleijnen, Jack P. C. - 2007
(DOE) and linear regression analysis. Unfortunately, classic theory assumes a single simulation response that is normally …In practice, simulation analysts often change only one factor at a time, and use graphical analysis of the resulting … Input/Output (I/O) data. Statistical theory proves that more information is obtained when applying Design Of Experiments …
Persistent link: https://www.econbiz.de/10014052879
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks : open access journal 9 (2021) 1/13, pp. 1-20
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...
Persistent link: https://www.econbiz.de/10012422987