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Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of...
Persistent link: https://www.econbiz.de/10011259232
We present a general framework for applying simulation to optimize the behavior of discrete event systems. Our approach … decision parameters. We then show how simulation and the likelihood ratio method can be used to evaluate the performance …
Persistent link: https://www.econbiz.de/10009191300
The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very valuable for regulators of the financial system. One important part of the financial system is the interbank payment system. This paper develops a robust measure, SinkRank, that...
Persistent link: https://www.econbiz.de/10010983171
The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very valuable for regulators of the financial system. One important part of the financial system is the interbank payment system. This paper develops a robust measure, SinkRank, that...
Persistent link: https://www.econbiz.de/10010310152
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services offered during their life cycle. The authors bring into the centre of the study the importance of the simulation … simulation methods used help the universities to determine the future risks and to predict when and what relationship marketing …
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