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Design and Analysis of Monte Carlo Experiments

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  • Kleijnen, J.P.C.

    (Tilburg University, Center For Economic Research)

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  • Kleijnen, J.P.C., 2004. "Design and Analysis of Monte Carlo Experiments," Discussion Paper 2004-17, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:7a12daae-c849-427e-8269-79cf3f8e68dd
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/600521/17.pdf
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    References listed on IDEAS

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    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.
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    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. 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.
    4. 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.

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