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A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
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Hidden cointegration : some Monte Carlo evidence
Eitrheim, Øyvind - 1991
Persistent link: https://www.econbiz.de/10000829098
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The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007
Persistent link: https://www.econbiz.de/10003644178
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A fast subsampling method for nonlinear dynamic models
Hong, Han; Scaillet, Olivier - In: Journal of econometrics 133 (2006) 2, pp. 557-578
Persistent link: https://www.econbiz.de/10003359579
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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A computationally practical robust simulation estimator for dynamic panel tobit models
Chang, Sheng-kai - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10009521857
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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On variance reduction of mean-CVaR Monte Carlo estimators
Kozmík, Václav - In: Computational Management Science : CMS 12 (2015) 2, pp. 221-242
Persistent link: https://www.econbiz.de/10010513412
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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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Convergence analysis of weighted expected residual method for nonlinear stochastic variational inequality problems
Lu, Fang; Li, Shengjie; Yang, Jing - In: Mathematical methods of operations research 82 (2015) 2, pp. 229-242
Persistent link: https://www.econbiz.de/10011374621