Search Results - subject:"Random numbers"

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

Persistent link: https://www.econbiz.de/10005825647

Search heuristics and the influence of non-perfect randomness: examining Genetic Algorithms and Simulated Annealing

Maucher, M.; Schöning, U.; Kestler, H. - In: Computational Statistics 26 (2011) 2, pp. 303-319

Persistent link: https://www.econbiz.de/10009149747

Assessing the Quality of Pseudo-Random Number Generators

Luizi, P.; Cruz, F.; Graaf, J. - In: Computational Economics 36 (2010) 1, pp. 57-67

Persistent link: https://www.econbiz.de/10008596726

Keeping the noise down: common random numbers for disease simulation modeling

Stout, Natasha; Goldie, Sue - In: Health Care Management Science 11 (2008) 4, pp. 399-406

Persistent link: https://www.econbiz.de/10005719002

Stochastic Ceteris Paribus Simulations

Kolsrud, Dag - In: Computational Economics 31 (2008) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10005701687

Combined generators with components from different families

L’Ecuyer, Pierre; Granger-Piché, Jacinthe - In: Mathematics and Computers in Simulation (MATCOM) 62 (2003) 3, pp. 395-404

Most random number generators used in practice are based on linear recurrences, with linear output transformations. This gives long periods, fast implementations, and structures that are easy to analyze. But the points produced by these generators have very regular structures. Nonlinear...

Persistent link: https://www.econbiz.de/10010749558

New Procedures to Select the Best Simulated System Using Common Random Numbers

Chick, Stephen E.; Inoue, Koichiro - In: Management Science 47 (2001) 8, pp. 1133-1149

Although simulation is widely used to select the best of several alternative system designs, and common random numbers … available to help a simulation practitioner select the best system when common random numbers are employed. This paper presents … new two-stage procedures that use common random numbers to help identify the best simulated system. The procedures allow …

Persistent link: https://www.econbiz.de/10009218385

Zufall und Quasi-Monte Carlo Ansätze / Randomness and Quasi-Monte Carlo Approaches : Einige Anmerkungen zu Grundlagen und Anwendungen in Statistik und Ökonometrie / Some Remarks on Fundamentals and Applications in Statistics and Econometrics

Winker, Peter; Fang, Kai-Tai - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 1-2, pp. 215-228

. In general, Monte Carlo methods are based on pseudo random numbers. Hence, the relationship between some fundamental …

Persistent link: https://www.econbiz.de/10014608659

Simulating correlated multivariate nonnormal distributions: Extending the fleishman power method

Headrick, Todd; Sawilowsky, Shlomo - In: Psychometrika 64 (1999) 1, pp. 25-35

Persistent link: https://www.econbiz.de/10005381632