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Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas; Tente, Sebastian - 2008

of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …

Persistent link: https://www.econbiz.de/10010298775

Optimierung unter Unsicherheit mit Hilfe stochastischer Simulation und Genetischer Algorithmen - dargestellt anhand der Optimierung des Produktionsprogramms eines Brandenburger Mar...

Mußhoff, Oliver; Hirschauer, Norbert - In: Agrarwirtschaft: Zeitschrift für Betriebswirtschaft, … 53 (2004) 7, pp. 264-279

this paper, we develop a methodological mix of stochastic simulation and a heuristic optimization procedure which has … become known as genetic algorithms. The simulation-part of the mix allows for the consideration of complex information such …

Persistent link: https://www.econbiz.de/10015079511

Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme

Blum, Ulrich; Gleißner, Werner; Leibbrand, Frank - 2005

and a stochastic simulation model of enterprise development. The results show that the method used is superior to …

Persistent link: https://www.econbiz.de/10010269950

Panel estimation of state dependent adjustment when the target is unobserved

von Kalckreuth, Ulf - 2008

Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...

Persistent link: https://www.econbiz.de/10010295881

Stochastic Dominance: Convexity and Some Efficiency Tests

Lizyayev, Andrey M. - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...

Persistent link: https://www.econbiz.de/10010325820

Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study

Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - 2009

multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …

Persistent link: https://www.econbiz.de/10010335297

Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises

Duan, Jin-Chuan; Fulop, Andras - 2005

simulation study is then conducted to ascertain the performance of the estimation method. …

Persistent link: https://www.econbiz.de/10010494319

Scenario sampling for large supermodular games

Graham, Bryan S.; Pelican, Andrin - 2023

This paper introduces a simulation algorithm for evaluating the log-likelihood function of a large supermodular binary … sampling algorithm which allows for accurate likelihood simulation with modest numbers of simulation draws. …

Persistent link: https://www.econbiz.de/10014480510

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2012

/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …

Persistent link: https://www.econbiz.de/10010500222

DEA problems under geometrical or probability uncertainties of sample data

Althaler, Karl S.; Slavova, Tatjana - 2000

This paper discusses the theoretical and practical aspects of new methods for solving DEA problems under real-life geometrical uncertainty and probability uncertainty of sample data. The proposed minimax approach to solve problems with geometrical uncertainty of sample data involves an...

Persistent link: https://www.econbiz.de/10010292786