monte carlo simulation regression models

... family models and via Monte Carlo Simulation AbstractThe objective this work is to calculate the VaR of portfolios viaGARCH family models with normal and t-student distribution and viaMonte Carlo Simulation ... Stock employing MonteCarlo Simulation to compare the result with outcomes obtained through para-metric models The author found empirical evidence which the evaluationobtained by Monte Carlo Simuation ... which estimates the probability of loss in a portfolio em-ploying Monte Carlo Simulation According to the authors the Monte CarloSimulation can have a huge computational cost, mainly when We have

Ngày tải lên: 26/03/2020, 04:15

... foward-in-time but it is non-deterministic and iscalled the ‘Monte Carlo time’ The ‘Monte Carlo time’ is often referred asthe ‘Monte Carlo steps’ or ‘Monte Carlo cycles’ in the literature If thedynamical ... by using Monte Carlo computer simulation Two types ofDNA configurations are used in the present simulations They are closed-circular/supercoiled and linear configurations First, the Monte Carlo com-puter ... time scales or larger separationtime scales Trang 402.4 METHODS OF COMPUTER SIMULATION 252.4.3 Monte Carlo Method Monte Carlo (MC) method is known for its capability to generate a largesample of

Ngày tải lên: 09/09/2015, 10:16

... dynamics in the simulation of molecules dissolved in water.Chapter 2 outlines the necessary elements of a Monte Carlo simulation formolecules The algorithms and framework for the computer simulation ... 138 3.14 Two Lennard-Jones models for CO2 138 3.15 Simulation results for two models of CO2 139 Trang 143.16 Potential models for solvated butane 1413.17 Simulation results for dissolved ... Exchange-repulsion energy 39 1.4 Preliminary Calculations 40 2 Molecular Monte Carlo Simulation 55 2.1 Computer Simulation Methods 55 2.1.1 Metropolis Algorithm 62 2.1.2 Periodic Boundary

Ngày tải lên: 10/09/2015, 15:49

... contrast, the Monte Carlo simulation technique turns out to be a promising substitute because it only considers the possible physical state and does not depend on any time scale In Monte Carlo simulations, ... proteins The phase diagrams can be easily calculated using various Monte Carlo techniques such as Gibbs ensemble Monte Carlo simulation (GEMC) and Gibbs-Duhem integration (GDI) Although the protein ... SEPARATIONS IN PROTEIN SOLUTIONS: A MONTE CARLO SIMULATION STUDY LI JIANGUO NATIONAL UNIVERSITY OF SINGAPORE 2008 Trang 2PHASE SEPARATIONS IN PROTEIN SOLUTIONS: A MONTE LI JIANGUO (B Eng &

Ngày tải lên: 14/09/2015, 14:06

... Overview of Monte Carlo Simulation 19 a Introduction to Monte Carlo Simulation 19 b Monte Carlo simulation in finance 20 c Steps in the Monte Carlo simulation 20 2.2.4 Using Monte Carlo simulation ... Applying Monte Carlo simulation to cash budgeting for Bim Son Cement Joint Stock Company 29 3.2.1 Cash budgeting steps using Monte Carlo simulation 29 Figure 5: Cash budgeting steps using Monte Carlo ... Overview of Monte Carlo Simulation a Introduction to Monte Carlo Simulation The name Monte Carlo simulation (MCS) comes from the fact that during the 1930s and 1940s, many computer simulations were

Ngày tải lên: 27/09/2016, 20:35

... requiring further simulation The resulting ‘nested-simulation’ is computationally inefficient and a regression-based approximation technique known as least-squares Monte Carlo (LSMC) simulation is ... liabilities projected forward one year or more into the future The natural Monte Carlo simulation approach for this task led to a nested simulation computational framework, which remains inefficient and ... must be estimated using Monte Carlo simulation Standard practice amongst many insurers is to measure such sensitivities using a ‘bump and revalue’ method This is just the simulation analogue of

Ngày tải lên: 01/01/2017, 08:57

... Trang 1O R I G I N A L R E S E A R C H Open Access3D absorbed dose distribution estimated by Monte Carlo simulation in radionuclide therapy with a monoclonal antibody targeting synovial sarcoma David ... VOI were used to evaluate the estimated absorbed doses per MBq of90Y-OTSA101 by means of Monte Carlo simulations (GATE) A visual scale analysis was applied to assess tumor uptake (grades 0 to ... Targeted radionuclide therapy, Absorbed dose estimation, Monoclonal antibody, Synovial sarcoma, Monte Carlo simulation Background Synovial sarcomas (SS) are rare tumors accounting for 2.5 to 10% of

Ngày tải lên: 19/11/2022, 11:35

... deter-mine certain special characteristics of MLC, Monte Carlo modeling was considered 2 | M A T E R I A L S A N D M E T H O D S 2.A | Monte Carlo modeling In accordance with the manufacturer’s ... in the simulation, the Monte Carlo uncertainty was less than 1% (2 SD) The configuration and constituent materials of DMLC H were modeled based on the manufacturer’s data; and the other simulation ... based on the Monte Carlo simulation, the amount of abutting leaf leakage was 52.80
0.06% According to these results, the leakage discrepancy for abutting air gap between the MC simulation and

Ngày tải lên: 24/11/2022, 17:53

... plate was obtained The results are compared with values of Monte Carlo simulation in the following sections B Monte Carlo simulation The simulations of Neptune 10PC medical linear accelerator (The ... dose distribution of electron fields Simulations were performed using Monte Carlo BEAMnrc and DOSXYZnrc codes for 6 and 10 MeV electron beams In Monte Carlo simulation, the shape of the titanium ... experiment data are a little larger than Monte Carlo results, which could be because of the small air gap outside the plate which is neglected in the Monte Carlo simulation F ig 8 A sample (a) of

Ngày tải lên: 04/12/2022, 15:45

... clearance and volume of distribution for the central compartment [8 Monte Carlo Simulation Monte Carlo simulations using the population PK models were performed for 1000 patients in each renal function ... excreted renally, appropriate dose adjustments are needed for patients with renal impairment Monte Carlo simulations were used to determine the probability of pharmacokinetic/ pharmacodynamic target ... augmented renal clearance (ARC) and end-stage renal disease (ESRD) with hemodialysis Methods: Monte Carlo simulations were conducted for 1000 patients with ARC and normal renal function, mild renal

Ngày tải lên: 04/12/2022, 16:01

... lost in using a control variate in preference to stratification 5.5 Conditional Monte Carlo Conditional Monte Carlo works by performing as much as possible of a multivariate integration by analytical ... queue simulation in Problem 1 Write a Maple program and investigate the variance reduction achieved for different parameter values 8 Write procedures for naive and conditional Monte Carlo simulations ... connection with linear regression A regression of Y upon X takes the form Yk= 0+ X k+ kwhere k are identically and independently distributed with zero mean The predicted value (in regression terminology)

Ngày tải lên: 09/08/2014, 16:21

... "=mean,"stddev"=std_dev);if a<evalf(n*exp(-1/alpha)) then print("STOP, use naive montecarlo" ) return end if; gam:=evalf(1/ln(n/a)); gam1:=1/gam; b:=(GAMMA(alpha+beta)/GAMMA(alpha)/GAMMA(beta)/gam)^n;s1:=0;s2:=0; ... ‘asiannaive’ computes the price of an Asian call option (arithmetic average) using standard Monte Carlo with no variance redu-cation The parameters are: Trang 31r¼ risk-free interest ratex0¼ ... sum1:=0;sum2:=0; for k1 from 1 to k do; s1:=0; for j from 1 to n do; for m from 1 to n do; Trang 20Appendix 6: Simulation and# PROCEDURE GENERATES A STANDARD RANDOM NORMAL # DEVIATE, USING THE POLAR BOX MULLER

Ngày tải lên: 09/08/2014, 16:21

... is whereW  Nð0; rÞ: P ut W ¼ bZ where Z  Nð0; IÞ 6.7.1 Naive Monte Carlo The procedure ‘basket’ estimates c using naive Monte Carlo It performs npathreplications of the payoff Ensure that the ... localb,c1,c2,i1,i2,mean,R,spot,stderr,theta,w,xav,xi,z; globali,X2;# # Computes call price for basket option using naive Monte Carlo; # load STDNORM and Linear Algebra package; # # r=risk-free interest rate; # x[i1]= i1th ... process(alpha=50) with the expected volatility0.3 Trang 19Appendix 7: Discrete event simulation7.1 G/G/1 queue simulation using the regenerative technique For procedure ‘gg1’, the aim is to estimate

Ngày tải lên: 09/08/2014, 16:21

... concepts such as systems, models, simulation, and Monte Carlo methods Section 3.2 deals with the most fundamental ingredients of discrete- event simulation, namely, the simulation clock and the ... under study 3.1 .I Classification of Simulation Models Computer simulation models can be classified in several ways: I Static versus Dynamic Models Static models are those that do not evolve ... Continuous versus Discrete Simulation Models In discrete simulation models the state variable changes instantaneously at discrete points in time, whereas in contin- uous simulation models the state changes

Ngày tải lên: 12/08/2014, 07:22

... expected system performance, 4.3 DYNAMIC SIMULATION MODELS Dynamic simulation models deal with systems that evolve over time Our goal is (as for static models) to estimate the expected system ... analytical methods For performance analysis of such models one must resort to simulation Note that for some stochastic models, only finite-horizon simulation is feasible, since the steady-state regime ... dynamic simulation model The exact distributions (transient and steady-state) are usually available only for sim- ple Markovian models such as the M / M / 1 queue For non-Markovian models, usually

Ngày tải lên: 12/08/2014, 07:22

... x ) one needs to know e But e is precisely the quantity we want to estimate from the simulation! In most simulation studies the situation is even worse, since the analytical expression for the ... its sample (stochastic) counterpart and then take the optimal solution of the asso- ciated Monte Carlo program as an estimator of *v Specifically, the stochastic counterpart of (5.57) is N ... Markov Models This section describes an application of SIS to nonlinear filtering Many problems in engineering, applied sciences, statistics, and econometrics can be formulated as hidden Markov models

Ngày tải lên: 12/08/2014, 07:22

... W.R Gilks, S Richardson, and D J Spiegelhalter Markov Chain Monte Carlo in Practice 8 P J Green Reversible jump Markov chain Monte Carlo computation and Bayesian model 9 J Hammersley and M ... be viewed as the expectation of f ( y I 0) under the posterior pdf Therefore, we can use Monte Carlo simulation to approximate f ( y I x) as where the sample {Otl i = 1 , , N } is obtained ... to parameter vector u, and it is based on the score function and the Fisher infor- Simulation and the Monte Carlo Method, Second Edition By R.Y Rubinstein and D P Kroese 201 Copyright @ 2007

Ngày tải lên: 12/08/2014, 07:22

... Monte Carlo Optimization PhD thesis, University of Riga, 15 R Y Rubinstein Monte Carlo Optimization Sirnulation and Sensitivity of Queueing Network 16 R Y Rubinstein and B Melamed Modern Simulation ... Optimization of static simulation models by the score function 18 R Y Rubinstein and A Shapiro Discrete Event Systems; Sensitivity Analysis and Stochastic 19 A Shapiro Simulation based optimization: ... Suppose we carry out the simulation using the service rate and wish to estimate e ( p ) = E[H] for different Trang 9228 - 3 - -3.5- values of ,u using the same simulation run Let (S1, A l

Ngày tải lên: 12/08/2014, 07:22

... applications on #P-complete problems, as the original C E method did in the fields of Monte Carlo simulation and simulation-based optimization in recent years The rest of this chapter is organized ... 4 The connection with rare-event simulation is the following Let 9.4 OTHER RANDOMIZED ALGORITHMS FOR COUNTING In the previous section we explained how Monte Carlo algorithms can be used for ... counting problem 9.3 THE RARE-EVENT FRAMEWORK FOR COUNTING We start with the fundamentals of the Monte Carlo method for estimation and counting by considering the following basic example Trang 6THE

Ngày tải lên: 12/08/2014, 07:22

... statistical mechanics of pattern formation His current work is in patient specific Monte Carlo dose calculation and Monte Carlo modeling of robotic stereotactic radiosurgery devices Todd Pawlicki (Ph.D., ... example, [2-4]) A new, proprietary Monte Carlo based system, NXEGS, provides an automated alternative to traditional commissioning NXEGS is a suite of Monte Carlo applications for radiotherapy, ... intended to make Monte Carlo radiotherapy calculation attainable by clinics of modest technical and human resources, as 1) its use requires no particular knowledge of Monte Carlo and 2) commissioning

Ngày tải lên: 03/11/2012, 10:05