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Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs

Xie, Jing; Frazier, Peter I.; Chick, Stephen E. - In: Operations research 64 (2016) 2, pp. 542-559

Persistent link: https://www.econbiz.de/10011485629

A family of composite discrete bivariate distributions with uniform marginals for simulating realistic and challenging optimization-problem instances

Reilly, Charles H.; Sapkota, Nabin - In: European journal of operational research : EJOR 241 (2015) 3, pp. 642-652

Persistent link: https://www.econbiz.de/10010487589

Stochastic model development and price volatility analysis

Taya, Shinichi - 2012

production in different countries is deemed as one of the factors of the price spike in 2007/08, the contribution of correlation … of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant …

Persistent link: https://www.econbiz.de/10009683293

Derivatives in dynamic markets

Wong, Amy Sau Kwun - 2009

Persistent link: https://www.econbiz.de/10003798441

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

Persistent link: https://www.econbiz.de/10001685033

An exponential model for dependent defaults

Giesecke, Kay - 2002

Persistent link: https://www.econbiz.de/10001685045

Efficiency of covariance matrix estimators for maximum likelihood estimation

Porter, Jack - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10001695294

A simulation study to compare various covariance adjustment techniques

Troschke, Sven-Oliver - 1999

Persistent link: https://www.econbiz.de/10001473581

Simulation of Historical Time Series Using MPRE, A Focus on Correlation in Squared Returns

Pantanella, Alexandre - 2011

correlation in returns. The empirical analysis spotlights that a probable link between the previous two stylized facts and the …

Persistent link: https://www.econbiz.de/10013122439

Simulation Study on Estimation Bias in Spatial Lag Model from Omitted Variable Correlated with Regressors

Yokoi, Takahisa - 2012

In this research, the omitted variable problem in a spatial autoregressive model is analyzed by simulation. We examine … variable correlated with regressors, there have been theoretical discussions of consistency and simulation analyses on the … square error. Our simulation results show that the S-2SLS estimator is strongly affected by the omitted variable under …

Persistent link: https://www.econbiz.de/10013098186