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Skewed logistic distribution for statistical temperature post-processing in mountainous areas

Gebetsberger, Manuel; Stauffer, Reto; Mayr, Georg. J.; … - 2018

Non-homogeneous post-processing is often used to improve the predictive performance of probabilistic ensemble forecasts. A common quantity to develop, test, and demonstrate new methods is the near-surface air temperature frequently assumed to follow a Gaussian response distribution. However,...

Persistent link: https://www.econbiz.de/10011847486

Estimation methods for non-homogeneous regression models : minimum continuous ranked probability score vs. maximum likelihood

Gebetsberger, Manuel; Messner, Jakob W.; Mayr, Georg. J.; … - 2017

calibration, and lead to only minor differences between the estimators employed. Finally, a simulation study confirms the …

Persistent link: https://www.econbiz.de/10011762435

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …

Persistent link: https://www.econbiz.de/10014246136

Simulation-Based Likelihood Inference for Limited Dependent Processes

Manrique, Aurora; Shephard, Neil - 1999

simulation to carry out either classical inference through a simulated score method (simulated EM algorithm) or Bayesian analysis …. The central tools we use to deal with the time series dimension of the models are the scan sampler and the simulation …

Persistent link: https://www.econbiz.de/10014197180

Validation of Simulation Models : Regression Analysis Revisited

Kleijnen, Jack P. C.; Bettonvil, Bert; van Groenendaal, … - 1997

queueing systems. The conclusions of this experiment are that (i) the old test rejects a valid simulation model substantially … simulation model, the higher its probability of acceptance; and (iii) the novel test does not reject a valid simulation model too …

Persistent link: https://www.econbiz.de/10014061483

On Use of Simulation Technique to Augment the Reliability of a System

Bhattacharjee, Dibyojyoti - 2010

The use of simulation in industry, of late, has become an important technique. It is used in the analysis of a number … restrictions. The number of each of these components, are selected using simulation and the combination giving the maximum … reliability can be decided. An algorithm to reach the maximum reliability using simulation, under the price and weight restriction …

Persistent link: https://www.econbiz.de/10013141793

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2006

the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …

Persistent link: https://www.econbiz.de/10003324256

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick (contributor); … - 2007

distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values …

Persistent link: https://www.econbiz.de/10003550675

Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect

Li, Guangjie (contributor) - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

Persistent link: https://www.econbiz.de/10003817214