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This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations and a jump component in the observation...
Persistent link: https://www.econbiz.de/10009441450
simulation these Levene type tests in terms of robustness and power. …
Persistent link: https://www.econbiz.de/10009431274
distributions, these two tables of values were compared with respect to robustness to types I and II errors through Monte Carlo …
Persistent link: https://www.econbiz.de/10009431813
depend on robustness properties of the solution concepts adopted. Chapter 1 discusses recent results in this research area … attention in the literature (namely, the distinction between knowledge and certainty), raising novel questions of robustness …
Persistent link: https://www.econbiz.de/10009438697
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...
Persistent link: https://www.econbiz.de/10009452622
certain proportion of outliers. Besides robustness, efficiency is another desirable property. Researchers try to find … robustness and efficiency of a class of estimators that we call [subscript n]C[subscript k ]estimators are investigated. Special …
Persistent link: https://www.econbiz.de/10009463989
This dissertation studies models for locating facilities in time varying demandenvironments. We describe the characteristics of the time varying demand that motivatethe analysis of our location models in terms of total demand and the changein value and location of the demand of each customer....
Persistent link: https://www.econbiz.de/10009464879
the policy that maximizes robustness to unstructured uncertainty. …
Persistent link: https://www.econbiz.de/10009467771
robust. But robustness, in the sense of assurance against extreme outcomes, ordinarily is not the only desideratum in … the risk of a successful attack by inspecting more vessels, we show that robustness against the failure to guarantee a … minimum level of expected utility might not be monotonic. Robustness modeling based on expected utility and incorporating …
Persistent link: https://www.econbiz.de/10009467775
reveal about design robustness is demonstrated, and practical limitations to its use are revealed. Second, a new mathematical … technique is presented that expands capabilities for analyzing robustness to multiple info-gap uncertainties simultaneously. The …
Persistent link: https://www.econbiz.de/10009475956