A wavelet-based spectral procedure for steady-state simulation analysis

DOI10.1016/j.ejor.2005.04.025zbMath1103.62087OpenAlexW1979785488MaRDI QIDQ2503249

Emily K. Lada, James R. Wilson

Publication date: 14 September 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(05)00421-2

zbMATH Keywords

simulationtime serieswavelet analysisspectral methodsteady-state analysisbias-corrected log-smoothed periodogram

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical methods for wavelets (65T60)

Related Items (5)

De-noising option prices with the wavelet method ⋮ Improving model performance with the integrated wavelet denoising method ⋮ A new wavelet-based denoising algorithm for high-frequency financial data mining ⋮ Wavelet-based option pricing: an empirical study ⋮ Variance estimation and sequential stopping in steady-state simulations using linear regression

Uses Software

• AS 181
• wmtsa
• ASAP3

Cites Work

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