Search results for "Monte Carlo method"
showing 10 items of 1234 documents
Split decomposition A technique to analyze viral evolution
1993
A clustering technique allowing a restricted amount of overlapping and based on an abstract theory of coherent decompositions of finite metrics is used to analyze the evolution of foot-and-mouth disease viruses. The emerging picture is compatible with the existence of viral populations with a quasispecies structure and illustrates various forms of evolution of this virus family. In addition, it allows the correlation of these forms with geographic occurrence.
Residual-based block bootstrap for cointegration testing
2010
We propose a new testing procedure to determine the rank of cointegration. This new method is based on the nonparametric resampling procedure, so-called Residual-Based Block Bootstrap (RBB), which is developed by Paparoditis and Politis (2003) in the context of unit root testing. Through Monte Carlo experiments we show that, in small samples, the RBB cointegration test has good power properties in relation to the other two well-known tests for cointegration, such as the Augmented Dickey–Fuller (ADF), applied to the residual of a cointegrating regression, and the Johansen's maximum eigenvalue tests. Likewise, this article looks at the influence played by the correlation of the ‘X’ variables …
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
2003
Abstract This paper reconsiders the nonlinearity test proposed by Ko[cbreve]enda (Ko[cbreve]enda, E. (2001). An alternative to the BDS test: integration across the correlation integral. Econometric Reviews20:337–351). When the analyzed series is non‐Gaussian, the empirical rejection rates can be much larger than the nominal size. In this context, the necessity of tabulating the empirical distribution of the statistic each time the test is computed is stressed. To that end, simple random permutation works reasonably well. This paper also shows, through Monte Carlo experiments, that Ko[cbreve]enda's test can be more powerful than the Brock et al. (Brock, W., Dechert, D., Scheickman, J., LeBar…
Sampling properties of the Bayesian posterior mean with an application to WALS estimation
2022
Many statistical and econometric learning methods rely on Bayesian ideas, often applied or reinterpreted in a frequentist setting. Two leading examples are shrinkage estimators and model averaging estimators, such as weighted-average least squares (WALS). In many instances, the accuracy of these learning methods in repeated samples is assessed using the variance of the posterior distribution of the parameters of interest given the data. This may be permissible when the sample size is large because, under the conditions of the Bernstein--von Mises theorem, the posterior variance agrees asymptotically with the frequentist variance. In finite samples, however, things are less clear. In this pa…
DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION
2016
We present a methodology for detecting breaks at any point in time-series regression models using an indicator saturation approach, applied here to modelling climate change. Building on recent developments in econometric model selection for more variables than observations, we saturate a regression model with a full set of designed break functions. By selecting over these break functions using an extended general-to-specific algorithm, we obtain unbiased estimates of the break date and magnitude. Monte Carlo simulations confirm the approximate properties of the approach. We assess the methodology by detecting volcanic eruptions in a time series of Northern Hemisphere mean temperature spanni…
Considerations about multiple and plural scattering in heavy-ion low-energy ERDA
2009
Abstract Low-energy heavy-ion Elastic Recoil Detection Analysis (ERDA) is becoming a mature technique for high-resolution characterization of thin films, i.e. below 50 nm thickness. In combination with a small tandem accelerator (∼2 MV terminal voltage) and beam energies below 20 MeV, it is suitable for routine analysis of key materials in semiconductor technology. At low-energies, however, small angle multiple scattering and large angle plural scattering of ions play a significant role, starting from the first nanometers. Multiple and plural scattering dominate the depth resolution deterioration with increasing depth and, when glancing angles are used, introduce long tails in the elemental…
Inclusive pion-nucleus double charge exchange.
1989
Inclusive double charge exchange reaction is studied by using a model which combines a microscopic many-body calculation of reaction probabilities with a Monte Carlo simulation procedure. Comparison with present experimental results requires that the (\ensuremath{\pi},2\ensuremath{\pi}) reaction be included and a proper evaluation of this latter reaction is also done. The combined results compare favorably with experiment, giving extra support to this model of the pion-nucleus interaction which was previously shown to provide a good description of all other inclusive reactions and elastic scattering.
A low energy bound atomic electron Compton scattering model for Geant4
2014
Abstract A two-body fully relativistic three-dimensional scattering framework has been utilised to develop an alternative Compton scattering computational model to those adapted from Ribberfors’ work for Monte Carlo modelling of Compton scattering. Using a theoretical foundation that ensures the conservation of energy and momentum in the relativistic impulse approximation, this new model, the Monash University Compton scattering model, develops energy and directional algorithms for both the scattered photon and ejected Compton electron from first principles. The Monash University Compton scattering model was developed to address the limitation of the Compton electron directionality algorith…
C-S-H/solution interface: Experimental and Monte Carlo studies
2010
International audience; The surface charge density of C-S-H particles appears to be one of the key parameters for predicting the cohesion strength, understanding the ion retention, the pollutant leakage, and admixture adsorption in hydrated cement pastes. This paper presents a Monte Carlo simulation of the surface-ions interactions that permits the prediction of surface charge density (σ), electrokinetic potential (ζ) and ions adsorption of mineral surfaces in equilibrium with a given electrolyte solution. Simulated results are compared to experimental data obtained by titration, electrokinetic potential measurements and ions uptake in the case of C-S-H suspensions. An excellent agreement i…