Showing 1 - 10 of 12
We present a formal theorem of the square root of the Brownian motion. In doing so, we show that this process can be presented as a typical complex random variable. In addition, we introduce the basic properties of this process
Persistent link: https://www.econbiz.de/10012850398
We study the correct estimation of the true variance of the predictor in stochastic Kriging (SK). First, we obtain macroreplications for a SK metamodel that approximates a single-server simulation model; these macroreplications give independently and identically distributed predictions. This...
Persistent link: https://www.econbiz.de/10013017383
Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal...
Persistent link: https://www.econbiz.de/10013024708
This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...
Persistent link: https://www.econbiz.de/10013144201
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection...
Persistent link: https://www.econbiz.de/10013144202
Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega...
Persistent link: https://www.econbiz.de/10011772356
Kriging provides metamodels for deterministic and random simulation models. Actually, there are several types of Kriging; the classic type is so-called universal Kriging, which includes ordinary Kriging. These classic types require estimation of the trend in the input-output data of the...
Persistent link: https://www.econbiz.de/10014142481
This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first- and the second-order stochastic dominance investment...
Persistent link: https://www.econbiz.de/10014057675
Kriging is a popular method for estimating the global optimum of a simulated system. Kriging approximates the input/output function of the simulation model. Kriging also estimates the variances of the predictions of outputs for input combinations not yet simulated. These predictions and their...
Persistent link: https://www.econbiz.de/10014038647
Distribution-free bootstrapping of the replicated responses of a given discreteevent simulation model gives bootstrapped Kriging (Gaussian process) metamodels; we require these metamodels to be either convex or monotonic. To illustrate monotonic Kriging, we use an M/M/1 queueing simulation with...
Persistent link: https://www.econbiz.de/10014166285