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-called peer group games being non-negative additive games on a permission tree. We provide a polynomial time algorithm for …
Persistent link: https://www.econbiz.de/10010325798
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data … outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset … of a cluster that represents a different segment of the market. We set up a framework of possible algorithm parameter …
Persistent link: https://www.econbiz.de/10011604994
interpretation. We suggest a simple algorithm for analyzing identification and an algorithm for finding a set of the most …
Persistent link: https://www.econbiz.de/10011605281
functional differential equations of the retarded type. We then use the Waveform Relaxation algorithm to provide a guess of the …. We illustrate the algorithm simulating both the stochastic neoclassical growth model and the Lucas model under Poisson …
Persistent link: https://www.econbiz.de/10010270397
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how...
Persistent link: https://www.econbiz.de/10010294007
or quarters containing more information than others). We suggest an algorithm that performs an approximate inversion of …
Persistent link: https://www.econbiz.de/10010294045
. Therefore a combinatorial optimisation algorithm is developed and an algorithm based on graph search is used and customised … correctness of the quick combinatorial algorithm are proved within this paper. For vehicle to grid (V2G) concepts, battery … been used to include degradation costs for different Li-Ion batteries into the graph search algorithm. An application of …
Persistent link: https://www.econbiz.de/10010300726
model parameters and probabilities. The package provides also an extended MitISEM algorithm, 'sequential MitISEM', which … predictive likelihoods. We illustrate the MitISEM algorithm using three canonical statistical and econometric models that are …
Persistent link: https://www.econbiz.de/10010326521
We propose a simple and powerful numerical algorithm to compute the transition process in continuous-time dynamic … system of functional differential equations of the retarded type. We apply the Waveform Relaxation algorithm, i.e., we …
Persistent link: https://www.econbiz.de/10010274762
In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...
Persistent link: https://www.econbiz.de/10010276592