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A Bayesian framework for quantifying uncertainty in stochastic simulation
Xie, Wei; Nelson, Barry L.; Barton, Russell R. - In: Operations research 62 (2014) 6, pp. 1439-1452
Persistent link: https://www.econbiz.de/10010471836
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A note on bias and mean squared error in steady-state quantile estimation
Muñoz, David F.; Ramírez-López, Adán - In: Operations research letters 43 (2015) 4, pp. 374-377
Persistent link: https://www.econbiz.de/10011372470
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Efficient VaR and CSaR measurement via stochastic kriging
Chen, Xi; Kim, Kyoung-Kuk - In: INFORMS journal on computing : JOC 28 (2016) 4, pp. 629-644
Persistent link: https://www.econbiz.de/10011617535
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Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation
Shi, Wen; Chen, Xi - In: Naval research logistics : an international journal 65 (2018) 3, pp. 218-241
Persistent link: https://www.econbiz.de/10012166187
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The variances of non-parametric estimates of the cross-sectional distribution of durations
Tian, Maoshan; Dixon, Huw - In: Econometric reviews 41 (2022) 10, pp. 1243-1264
Persistent link: https://www.econbiz.de/10013490704
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Testing for dummy-variable effects in semi-logarithmic regressions
Blackburn, McKinley L. - In: Applied economics letters 30 (2023) 3, pp. 292-296
Persistent link: https://www.econbiz.de/10013553195
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The confidence interval of the cross-sectional distribution of durations
Dixon, Huw; Tian, Maoshan - 2022 - Updated January 2023
Tian and Dixon (2022) derived the variance of the estimator of cross-sectional distribution of durations (CSD). In this paper, we apply both Fieller's method and the Delta method to derive confidence interval of CSD using this variance formula. (CSD) is a new estimator derived by Dixon (2012)....
Persistent link: https://www.econbiz.de/10014433303
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Inter-regional poverty comparisons : case of West Bengal
Chattopadhyaya, Somnath - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 104-122
Persistent link: https://www.econbiz.de/10010337908
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...
Persistent link: https://www.econbiz.de/10009530402