2,716 research outputs found
Integrated building performance simulation
This paper justifies the need for an integrated approach to building performance assessment and provides examples of the technical appraisals that may then be enabled. The contention is that the use of design tools which focus on a single domain will result in sub-optimum design solutions in terms of indoor air quality, occupant comfort, energy use and environmental impact
Large deviation asymptotics and control variates for simulating large functions
Consider the normalized partial sums of a real-valued function of a
Markov chain, The
chain takes values in a general state space ,
with transition kernel , and it is assumed that the Lyapunov drift condition
holds: where , , the set is small and dominates . Under these
assumptions, the following conclusions are obtained: 1. It is known that this
drift condition is equivalent to the existence of a unique invariant
distribution satisfying , and the law of large numbers
holds for any function dominated by :
2. The lower error
probability defined by , for , ,
satisfies a large deviation limit theorem when the function satisfies a
monotonicity condition. Under additional minor conditions an exact large
deviations expansion is obtained. 3. If is near-monotone, then
control-variates are constructed based on the Lyapunov function , providing
a pair of estimators that together satisfy nontrivial large asymptotics for the
lower and upper error probabilities. In an application to simulation of queues
it is shown that exact large deviation asymptotics are possible even when the
estimator does not satisfy a central limit theorem.Comment: Published at http://dx.doi.org/10.1214/105051605000000737 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
A data driven equivariant approach to constrained Gaussian mixture modeling
Maximum likelihood estimation of Gaussian mixture models with different
class-specific covariance matrices is known to be problematic. This is due to
the unboundedness of the likelihood, together with the presence of spurious
maximizers. Existing methods to bypass this obstacle are based on the fact that
unboundedness is avoided if the eigenvalues of the covariance matrices are
bounded away from zero. This can be done imposing some constraints on the
covariance matrices, i.e. by incorporating a priori information on the
covariance structure of the mixture components. The present work introduces a
constrained equivariant approach, where the class conditional covariance
matrices are shrunk towards a pre-specified matrix Psi. Data-driven choices of
the matrix Psi, when a priori information is not available, and the optimal
amount of shrinkage are investigated. The effectiveness of the proposal is
evaluated on the basis of a simulation study and an empirical example
Variational Bayes with Intractable Likelihood
Variational Bayes (VB) is rapidly becoming a popular tool for Bayesian
inference in statistical modeling. However, the existing VB algorithms are
restricted to cases where the likelihood is tractable, which precludes the use
of VB in many interesting situations such as in state space models and in
approximate Bayesian computation (ABC), where application of VB methods was
previously impossible. This paper extends the scope of application of VB to
cases where the likelihood is intractable, but can be estimated unbiasedly. The
proposed VB method therefore makes it possible to carry out Bayesian inference
in many statistical applications, including state space models and ABC. The
method is generic in the sense that it can be applied to almost all statistical
models without requiring too much model-based derivation, which is a drawback
of many existing VB algorithms. We also show how the proposed method can be
used to obtain highly accurate VB approximations of marginal posterior
distributions.Comment: 40 pages, 6 figure
Static Hedging of Multivariate Derivatives by Simulation
We propose an approximate static hedging procedure for multivariate derivatives. The hedging portfolio is composed of statically held simple univariate options, optimally weighted minimizing the variance of the difference between the target claim and the approximate replicating portfolio. The method uses simulated paths to estimate the weights of the hedging portfolio and is related to Monte Carlo control variates techniques. We report numerical results showing the performance of this static hedging procedure on bivariate options on the maximum of two assets and on 2- and 7-dimensional portfolio options. It is shown that, in the presence of transaction costs, Value at Risk and Expected Shortfall of the dynamically hedged positions can be higher than the ones obtained by a static hedge.Monte Carlo methods, option pricing, static and dynamic hedging
A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials
The real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models. However, empirical support for the relationship, especially when cointegrationbased methods are used, is rather weak. In this paper we reinvestigate the RERI relationship using bilateral real exchange rate data spanning the period 1978 to 1997. We first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the relationship. We demonstrate that the failure of earlier analyses to detect a stationary real interest rate is largely due to the low power of the tests employed.real exchange rates, real interest rates, cointegration
Industrial development, agricultural growth, urbanization and environmental Kuznets curve in Pakistan
The debate of environmental issues and their analysis is of vital interest for economic policies. Institutions are engaged in identifying and estimating the extent of environmental impact of determinants controllable via policy measures. Annual data from the on Carbon Dioxide emission, economic growth, consumption of energy, openness for foreign trade, urbanization, industrial growth and agriculture growth on Pakistan is used for 1971 to 2007. Augmented Vector Autoregression technique and cointegration analysis is implemented to test Granger causality. Gross domestic product significantly Granger causes emission of Carbon Dioxide and energy consumption. On the other hand emissions of CO2 affect economic growth, agriculture and industrial growth in the long run. It is also evident that energy consumption unidirectional Granger causes emission of Carbon Dioxide. Industrialization and urbanization bidirectional Granger causes each other. The results indicate the more careful industrial and energy policies to reduce emissions and control global warming.Pakistan, Carbon Dioxide emission, Environment, Energy Consumption, Economic Growth, Foreign Trade
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