Search Results - subject:"sampling"

American option pricing with importance sampling and shifted regressions

Boire, Francois-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias …. Our numerical results show that this method successfully reduces the bias plaguing the standard importance sampling method …

Persistent link: https://www.econbiz.de/10012626320

On the choice of the number of Monte Carlo iterations and bootstrap replicates in Empirical Best Prediction

Chwila, Adam; Żądło, Tomasz - In: Statistics in transition : an international journal of … 21 (2020) 2, pp. 35-60

Empirical Best Predictors (EBPs) are widely used for small area estimation purposes. In the case of longitudinal surveys, this class of predictors can be used to predict any given population or subpopulation characteristic for any time period, including future periods. Generally, the value of an...

Persistent link: https://www.econbiz.de/10012257015

Asymptotic versus bootstrap inference for inequality indices of the cumulative distribution function

Abul Naga, Ramses H.; Stapenhurst, Christopher; … - In: Econometrics : open access journal 8 (2020) 1/8, pp. 1-15

We examine the performance of asymptotic inference as well as bootstrap tests for the Alphabeta and Kobus-Miłoś family of inequality indices for ordered response data. We use Monte Carlo experiments to compare the empirical size and statistical power of asymptotic inference and the Studentized...

Persistent link: https://www.econbiz.de/10012265388

A study of discontinuity effects in regression inference based on web-augmented mixed mode surveys

Burgard, Jan Pablo; Krause, Joscha; Münnich, Ralf T. - 2020

We consider a situation where the sample design of a survey is modified over time in order to save resources. The former design is a classical large-scale survey. The new design is a mixed mode survey where a smaller classical sample is augmented by records of an online survey. For the online...

Persistent link: https://www.econbiz.de/10012202020

Spatial sampling methods modified by model use

Bąk, Tomasz - In: Statistics in Transition New Series 22 (2021) 2, pp. 143-154

Recent years have seen an intensive development in the field of spatial sampling methods, which generally focus on a … balanced distribution of the sample in space. Adaptive sampling methods constitute another dynamic direction in the sampling … sampling methods have been analysed. The experiment was designed to include statistical model in the sampling procedure. As in …

Persistent link: https://www.econbiz.de/10012600296

Weighting the SOEP-CoV study 2020

Siegers, Rainer; Steinhauer, Hans Walter; Zinn, Sabine - 2021 - Last updated: August 6, 2020

This paper details the sampling design, results from the field, analysis of selectivities, as well as raking procedures …

Persistent link: https://www.econbiz.de/10012548459

Spatial sampling methods modified by model use

Bąk, Tomasz - In: Statistics in transition : an international journal of … 22 (2021) 2, pp. 143-154

Recent years have seen an intensive development in the ﬁeld of spatial sampling methods, which generally focus on a … balanced distribution of the sample in space. Adaptive sampling methods constitute another dynamic direction in the sampling … sampling methods have been analysed. The experiment was designed to include statistical model in the sampling procedure. As in …

Persistent link: https://www.econbiz.de/10012582527

Finite sample analysis of predictive regressions with long-horizon returns

Kan, Raymond; Pan, Jiening - 2021 - This version: February 2021

Persistent link: https://www.econbiz.de/10012593767

SOEP-Core v36 : documentation of sample sizes and panel attrition in the German Socio-Economic Panel (SOEP) (1984 until 2019)

Siegers, Rainer; Steinhauer, Hans Walter; Dührsen, Lennart - 2021

Persistent link: https://www.econbiz.de/10012507724

Acompanhando a cobertura previdenciária pela PNAD contínua: propostas de indicadores para as diferentes versões da pesquisa

Ansiliero, Graziela; Costanzi, Rogério Nagamine; … - 2021

Persistent link: https://www.econbiz.de/10012613315