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Cost analysis of poor quality using a software simulation

Fabianová, Jana; Janeková, Jaroslava; Onofrejová, Daniela - In: Amfiteatru economic : an economic and business research … 19 (2017) 44, pp. 181-196

regarding to business activities. Use of software applications and computer simulation enables more effective quality management …. Simulation tools offer incorporating the variability of more variables in experiments and evaluating their common impact on the … final output. The article presents a case study focused on the possibility of using computer simulation Monte Carlo in the …

Persistent link: https://www.econbiz.de/10011798386

Efficient numerical pricing of American call options using symmetry arguments

Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

Persistent link: https://www.econbiz.de/10012022212

Chapter 1 Bayesian Forecasting

Geweke, John; Whiteman, Charles - 2006

Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...

Persistent link: https://www.econbiz.de/10014023705

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Possibly ill-behaved posteriors in econometric models

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …

Persistent link: https://www.econbiz.de/10011374406

Spatial dynamic panel model and system GMM : a Monte Carlo investigation

Kukenova, Madina; Monteiro, José-Antonio - 2009 - Draft: February 2009

This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of several endogenous variables. So far, none of the available estimators in spatial econometrics allows considering spatial dynamic models with one or more endogenous variables....

Persistent link: https://www.econbiz.de/10011976850

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated 1967) estimator. It then demonstrates that the bootstrap outperforms Parks's top...

Persistent link: https://www.econbiz.de/10012018487

New strategies to improve the accuracy of predictions based on Monte Carlo and bootstrap simulations : an application to Bulgarian and Romanian inflation

Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 18 (2014), pp. 112-129

The necessity of improving the forecasts accuracy grew in the context of ac- tual economic crisis, but few researchers were interested till now in finding out some empirical strategies to improve their predictions. In this article, for the inflation rate forecasts on the horizon 2010 - 2012, we...

Persistent link: https://www.econbiz.de/10010506046

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...

Persistent link: https://www.econbiz.de/10011302625

Monte Carlo approximate tensor moment simulations

Arismendi Zambrano, Juan Carlos; Kimura, Herbert - 2014

An algorithm to generate samples with approximate first-, second-, and third-order moments is presented extending the Cholesky matrix decomposition to a Cholesky tensor decomposition of an arbitrary order. The tensor decomposition of the first-, second-, and third-order objective moments...

Persistent link: https://www.econbiz.de/10010532225

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