Search results for "EDAS"
showing 10 items of 90 documents
On the moments of Cochran's Q statistic under the null hypothesis, with application to the meta-analysis of risk difference.
2011
W. G. Cochran's Q statistic was introduced in 1937 to test for equality of means under heteroscedasticity. Today, the use of Q is widespread in tests for homogeneity of effects in meta-analysis, but often these effects (such as risk differences and odds ratios) are not normally distributed. It is common to assume that Q follows a chi-square distribution, but it has long been known that this asymptotic distribution for Q is not accurate for moderate sample sizes. In this paper, the effect and weight for an individual study may depend on two parameters: the effect and a nuisance parameter. We present expansions for the first two moments of Q without any normality assumptions. Our expansions w…
Uncertainty and Equifinality in Calibrating Distributed Roughness Coefficients in a Flood Propagation Model with Limited Data
1998
Monte-Carlo simulations of a two-dimensional finite element model of a flood in the southern part of Sicily were used to explore the parameter space of distributed bed-roughness coefficients. For many real-world events specific data are extremely limited so that there is not only fuzziness in the information available to calibrate the model, but fuzziness in the degree of acceptability of model predictions based upon the different parameter values, owing to model structural errors. Here the GLUE procedure is used to compare model predictions and observations for a certain event, coupled with both a fuzzy-rule-based calibration, and a calibration technique based upon normal and heteroscedast…
Tests for time reversibility: a complementarity analysis
2003
Abstract Since time reversibility (TR) is a necessary condition for an independent and identically distributed (iid) sequence, several tests for TR have been suggested to be applied as tests for model misspecification. In this paper, we analyze possible complementarities among two well known TR tests (Ramsey and Rothman's test, and Chen et al.'s test) in two situations: (1) the fitted model is a linear ARMA model when the true data generating process is a nonlinear-in-mean model (either threshold autoregressive or bilinear), and (2) the fitted model is a symmetric GARCH model but the true process belongs to the asymmetric GARCH family (either EGARCH or GJR). The results suggest that there a…
Impact of interest rate risk on the Spanish banking sector
2010
This paper examines the exposure of the Spanish banking sector to interest rate risk. With that aim, a univariate GARCH-M model, which takes into account not only the impact of interest rate changes but also the effect of their volatility on the distribution of bank stock returns, is used. The results show that both changes and volatility of interest rates have a negative and significant impact on the stock returns of the Spanish banking industry. Moreover, there seems to be a direct relationship between the size of banking firms and their degree of interest rate sensitivity.
El legado numismático de la "Universitat de Valencia": una suma de pasiones
2008
El patrimonio que constituye el legado numismático perteneciente a los "fondos no librarios" de la Biblioteca Histórica Universitaria de Valencia, conformado en torno a las colecciones monetaria y de medallas, es aquel conjunto de bienes del que en este artículo se busca esbozar algunas observaciones que ayuden a comprender el conjunto del mismo, su interés, e incluso, sus necesidades. Un importante y relevante muestrario por la variedad de tipos y modelos que incluye, y de épocas que abarca, considerable como una de las colecciones notables de numismática hispánica del país. Analizado en torno a dos apartados que buscan desvelar su origen y entraña. (A)
Hallazgo de monedas del siglo III en Lequeitio (Vizcaya) en 1803
2010
Durante las obras de la fuente pública de Lequeitio en 1802-1803 se encontraron algunas monedas romanas de las que José Vargas Ponce pudo ver tres en una colección privada de Tolosa. Con los datos proporcionados por el autor es posible identificar el hallazgo como parte de un conjunto monetario del siglo III d.C.
Testing for Financial Contagion Between Developed and Emerging Markets During the 1997 East Asian Crisis
2003
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon (2002), we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over)identifying restrictions. The estimation results provide some evidence of contagion, in particular from…
Decomposition of Dynamic Single-Product and Multi-product Lotsizing Problems and Scalability of EDAs
2008
In existing theoretical and experimental work, Estimation of Distribution Algorithms (EDAs) are primarily applied to decomposable test problems. State-of-the-art EDAs like the Hierarchical Bayesian Optimization Algorithm (hBOA), the Learning Factorized Distribution Algorithm (LFDA) or Estimation of Bayesian Networks Algorithm (EBNA) solve these problems in polynomial time. Regarding this success, it is tempting to apply EDAs to real-world problems. But up to now, it has rarely been analyzed which real-world problems are decomposable. The main contribution of this chapter is twofold: (1) It shows that uncapacitated single-product and multi-product lotsizing problems are decomposable. (2) A s…
Risk forecasting models and optimal portfolio selection
2005
This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly su…