IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/7a12daae-c849-427e-8269-79cf3f8e68dd.html
   My bibliography  Save this paper

Design and Analysis of Monte Carlo Experiments

Author

Listed:
  • Kleijnen, J.P.C.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Kleijnen, J.P.C., 2004. "Design and Analysis of Monte Carlo Experiments," Other publications TiSEM 7a12daae-c849-427e-8269-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:7a12daae-c849-427e-8269-79cf3f8e68dd
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/600521/17.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kleijnen, J.P.C., 2001. "Experimental Design for Sensitivity Analysis of Simulation Models," Discussion Paper 2001-15, Tilburg University, Center for Economic Research.
    2. Shu Yamada & Dennis Lin, 2002. "Construction of mixed-level supersaturated design," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 56(3), pages 205-214, December.
    3. Joan M. Donohue & Ernest C. Houck & Raymond H. Myers, 1993. "Simulation Designs and Correlation Induction for Reducing Second-Order Bias in First-Order Response Surfaces," Operations Research, INFORMS, vol. 41(5), pages 880-902, October.
    4. Antoniadis, Anestis & Dinh Tuan Pham, 1998. "Wavelet regression for random or irregular design," Computational Statistics & Data Analysis, Elsevier, vol. 28(4), pages 353-369, October.
    5. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2000. "Variance Reduction Techniques for Estimating Value-at-Risk," Management Science, INFORMS, vol. 46(10), pages 1349-1364, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Schaefer Kurt C & Anderson Michael A & Ferrantino Michael J, 2008. "Monte Carlo Appraisals of Gravity Model Specifications," Global Economy Journal, De Gruyter, vol. 8(1), pages 1-26, February.
    2. Kleijnen, Jack P. C., 2005. "An overview of the design and analysis of simulation experiments for sensitivity analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 287-300, July.
    3. Lidia MANDRU, 2016. "How To Control Risks? Towards A Structure Of Enterprise Risk Management Process," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 9(9), pages 80-92, June.
    4. Konstantinos Alexandridis & Bryan C Pijanowski, 2007. "Assessing Multiagent Parcelization Performance in the MABEL Simulation Model Using Monte Carlo Replication Experiments," Environment and Planning B, , vol. 34(2), pages 223-244, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kleijnen, Jack P. C., 2005. "An overview of the design and analysis of simulation experiments for sensitivity analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 287-300, July.
    2. Jack P. C. Kleijnen & Susan M. Sanchez & Thomas W. Lucas & Thomas M. Cioppa, 2005. "State-of-the-Art Review: A User’s Guide to the Brave New World of Designing Simulation Experiments," INFORMS Journal on Computing, INFORMS, vol. 17(3), pages 263-289, August.
    3. Begen, Mehmet A. & Pun, Hubert & Yan, Xinghao, 2016. "Supply and demand uncertainty reduction efforts and cost comparison," International Journal of Production Economics, Elsevier, vol. 180(C), pages 125-134.
    4. Le Zhang & Qiang Yang, 2020. "Investigation of the Design and Fault Prediction Method for an Abrasive Particle Sensor Used in Wind Turbine Gearbox," Energies, MDPI, vol. 13(2), pages 1-13, January.
    5. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
    6. Xiaoou Li & Jingchen Liu & Gongjun Xu, 2016. "On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 236-246, February.
    7. Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing, 2024. "Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 132-150.
    8. Onur Babat & Juan C. Vera & Luis F. Zuluaga, 2021. "Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques," Papers 2107.07339, arXiv.org.
    9. Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 261-295, September.
    10. Koukouvinos, C. & Mantas, P., 2005. "Construction of some E(fNOD) optimal mixed-level supersaturated designs," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 312-321, October.
    11. Peter Christoffersen & Silvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO.
    12. Kleijnen, J.P.C. & Sanchez, S.M. & Lucas, T.W. & Cioppa, T.M., 2003. "A User's Guide to the Brave New World of Designing Simulation Experiments," Discussion Paper 2003-1, Tilburg University, Center for Economic Research.
    13. Fujii, Toru & Konishi, Sadanori, 2006. "Nonlinear regression modeling via regularized wavelets and smoothing parameter selection," Journal of Multivariate Analysis, Elsevier, vol. 97(9), pages 2023-2033, October.
    14. Soumyadip Ghosh & Raghu Pasupathy, 2012. "C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions," INFORMS Journal on Computing, INFORMS, vol. 24(2), pages 295-310, May.
    15. Chen, Jie & Liu, Min-Qian, 2008. "Optimal mixed-level supersaturated design with general number of runs," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2496-2502, October.
    16. Guangxin Jiang & Michael C. Fu, 2015. "Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis," Operations Research, INFORMS, vol. 63(2), pages 435-441, April.
    17. Weihuan Huang & Nifei Lin & L. Jeff Hong, 2022. "Monte-Carlo Estimation of CoVaR," Papers 2210.06148, arXiv.org.
    18. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
    19. Liu, Min-Qian & Zhang, Li, 2009. "An algorithm for constructing mixed-level k-circulant supersaturated designs," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2465-2470, May.
    20. Safizadeh, M. Hossein, 2002. "Minimizing the bias and variance of the gradient estimate in RSM simulation studies," European Journal of Operational Research, Elsevier, vol. 136(1), pages 121-135, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:7a12daae-c849-427e-8269-79cf3f8e68dd. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.