based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …

features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …

based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

We investigate the problem of optimal choice of the smoothing parameter (bandwidth) for the regression discontinuity … simulation study based on this data set. The simulations suggest that the proposed rule performs well. …

beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …

power. We perform a simulation study and apply the results to a case study where the interest lies in evaluating the effect …

The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. …

We investigate the problem of optimal choice of the smoothing parameter (bandwidth) for the regression discontinuity … simulation study based on this data set. The simulations suggest that the proposed rule performs well. -- Optimal bandwidth …