Simulation based calibration using extended balanced augmented empirical likelihood

Minh Khoa Nguyen, Steve Phelps, Wing Lon Ng

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
241 Downloads (Pure)

Abstract

This paper introduces an extension of the balanced augmented empirical likelihood (eBAEL) method for calibrating simulation models. We illustrate the efficiency of our method in two simulation studies, where we calibrate moments of different distributions and parameters of a geometric Brownian motion process, comparing our approach against other simulation based methods. In these benchmark experiments we observe converging mean squared errors of the empirical likelihood approach. In fact, the results demonstrate that the eBAEL approach is able to provide the best mean squared errors for calibration and in particular is the most robust calibration method, particularly in the presence of noise.
Original languageEnglish
Pages (from-to)1093-1112
Number of pages20
JournalSTATISTICS AND COMPUTING
Volume25
Issue number6
Early online date3 Sept 2014
DOIs
Publication statusPublished - Nov 2015

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