We derive new statistical tests for leave-one-out cross-validation of Kriging models. Graphically, we present these tests as scatterplots augmented with confidence intervals. We may wish to avoid extrapolation, which we define as prediction of the output for a point that is a vertex of the...

Russian Abstract: Рассмотрена общая задача о развитии начального возмущения потоковых параметров синхронизированной производственной линии. Записано кинетическое...

Russian Abstract: В статье обсуждаются методы построения кинетического уравнения технологического процесса. Представлена модель взаимодействия предметов труда с...

An analytic framework is provided for incorporating different user perspectives on materiality into the audit process. The framework serves as a tool for disaggregating materiality to specific accounts based on materiality criteria for accounts and account combinations. To improve audit...

Sequential bifurcation (or SB) is an efficient and effective factor-screening method; i.e., SB quickly identifies the important factors (inputs) in experiments with simulation models that have very many factors — provided the SB assumptions are valid. The specific SB assumptions are: (i) a...

We provide a data-driven adjustment for estimated betas that leads to material improvements in the accuracy of weights and risk forecasts for minimum variance portfolios. Like the widely used Blume 2/3 rule and Vasicek correction developed in the 1970s, our beta adjustment operates by shrinking...

Russian Abstract: Определено фазовое технологическое пространство состояния предметов труда. Технология производства задается нормативной технологической...

Efficient Global Optimization (EGO) is a popular method that searches sequentially for the global optimum of a simulated system. EGO treats the simulation model as a black-box, and balances local and global searches. In deterministic simulation, EGO uses ordinary Kriging (OK), which is a special...

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...

In this paper, we propose an inflated mixture model to deal with multimodality in loss given default data. We propose a mixed of degenerate distributions, to handle zeros and ones excess, with a mixture of to-be-chosen bounded distributions for non-zeros and non-ones proportions. By applying the...