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UNIVERSITA' DEGLI STUDI ROMA TRE
DIPARTIMENTO DI ECONOMIA
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AVVISO DI SEMINARIO
Il giorno 26 ottobre p.v., alle ore 12.00,nell'aula A9 (piano seminterrato)
della FACOLTA' DI ECONOMIA, UNIVERSITA' ROMA TRE, Via Ostiense 139,
il Prof. CHRISTIAN P. ROBERT
della Universite Paris Dauphine
terrą un seminario dal titolo
"CONFIDENCE BANDS ON SIMULATION OUTPUT".
Tutti gli interessati sono invitati a partecipare.
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Abstract
While the final value of a Monte Carlo average can be interpreted on the
scale of the Central Limit, the variability of the whole sequence of
cumulated averages is not in agreement, function-wise, with the regular
Central Limit. We develop in this talk a confidence band that aims at
minimising a surface criteria. We show that for both confidence and
predictive purposes the numerical resolution of the minimisation problem
over a class of parameterised functions achieves almost the mimimum
obtained via local time approximations, at a lower computational cost.
(joint work with Wilfrid S. Kendall and Jean-Michel Marin)