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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

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

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

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

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