This article reviews Kriging (also called spatial correlation modeling). It presents the basic Kriging assumptions and formulas contrasting Kriging and classic linear regression metamodels. Furthermore, it extends Kriging to random simulation, and discusses bootstrapping to estimate the variance...

We derive intrinsic Kriging, using Matherons intrinsic random functions which eliminate the trend in classic Kriging. We formulate this intrinsic Kriging as a metamodel in deterministic and random simulation models. For random simulation we derive an experimental design that also specifies the...

Kriging (Gaussian process, spatial correlation) metamodels approximate the Input/Output (I/O) functions implied by the underlying simulation models; such metamodels serve sensitivity analysis and optimization, especially for computationally expensive simulations. In practice, simulation analysts...

This article presents an econometric analysis of the many data on the sealed-bid auction that sells mussels in Yerseke town, the Netherlands. The goals of this analy- sis are obtaining insight into the important factors that determine the price of these mussels, and quantifying the performance...

Доказана теорема о существовании разрывов в шкале вероятностей. Рассмотрены проявления этих разрывов в экономике и прогнозировании.

Приведена общая схема доказательства теорем о существовании разрывов на числовых отрезках и в шкале вероятностей. Рассмотрены некоторые возможности...

Many firm level studies rely on readily available databases as COMPUSTAT, based on published balance sheets. While bigger firms are quite reliable described in this data set, small and medium sized firms (SMEs) are not covered, bearing the danger that the conclusions might be biased. To include...

The theorem of existence of the ruptures in the probability scale is used to solve some problems of modelling of the economic behavior of a man. The “four-fold-pattern” paradox is considered as an example of such solution.

A new mathematical direction is presented. Sub-interval analysis is a simple and effective tool for practical and theoretical calculations and estimations. Feasible applications of sub-interval analysis include economics (accounting, auditing, microeconomics, macroeconomics, banking, insurance,...

Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk,...