Prior Information In Econometric Global Optimization Problems: A Bootstrap Approach
The paper analyzes the regression problem for small and undersized sample. Two classical algorithms are compared: Simulated Annealing (SA) versus Repetitive Stochastic Guesstimation (RSG). An improved version of RSG is built and compared to the previous two algorithms. The author concludes that a complete comparison among SA, RSG and RSGBOOT has to be done preliminary on every model to be estimated since these stochastic optimization algorithms are very sensitive to model specification.
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Volume (Year): (2000)
Issue (Month): 4 (December)
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