Fast robust optimization using bias correction applied to the mean model
Sign Up to like & getrecommendations! Published in 2020 at "Computational Geosciences"
DOI: 10.1007/s10596-020-10017-y
Abstract: Ensemble methods are remarkably powerful for quantifying geological uncertainty. However, the use of the ensemble of reservoir models for robust optimization (RO) can be computationally demanding. The straightforward computation of the expected net present value… read more here.
Keywords: methodology; mean model; model; optimization ... See more keywords
Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t-distribution.
Sign Up to like & getrecommendations! Published in 2017 at "Statistics and its interface"
DOI: 10.4310/sii.2017.v10.n4.a1
Abstract: A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov… read more here.
Keywords: stochastic volatility; volatility mean; mean model; model ... See more keywords