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Full-Text Articles in Statistical Models
Deterministic Global 3d Fractal Cloud Model For Synthetic Scene Generation, Aaron M. Schinder, Shannon R. Young, Bryan J. Steward, Michael L. Dexter, Andrew Kondrath, Stephen Hinton, Ricardo Davila
Deterministic Global 3d Fractal Cloud Model For Synthetic Scene Generation, Aaron M. Schinder, Shannon R. Young, Bryan J. Steward, Michael L. Dexter, Andrew Kondrath, Stephen Hinton, Ricardo Davila
Faculty Publications
This paper describes the creation of a fast, deterministic, 3D fractal cloud renderer for the AFIT Sensor and Scene Emulation Tool (ASSET). The renderer generates 3D clouds by ray marching through a volume and sampling the level-set of a fractal function. The fractal function is distorted by a displacement map, which is generated using horizontal wind data from a Global Forecast System (GFS) weather file. The vertical windspeed and relative humidity are used to mask the creation of clouds to match realistic large-scale weather patterns over the Earth. Small-scale detail is provided by the fractal functions which are tuned to …
On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye
On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye
Electronic Thesis and Dissertation Repository
In this thesis, the Heston-Nandi GARCH(1,1) (henceforth, HN-GARCH) option pricing model is fitted via 4 maximum likelihood-based estimation and calibration approaches using simulated returns and/or options. The purpose is to examine the benefits of the joint estimation using both returns and options over the fundamental returns-only estimation on GARCH models. From our empirical studies, with the additional option sample, we can improve the efficiency of the estimates for HN-GARCH parameters. Nonetheless, the improvements for the risk premium factor, both from empirical standard errors, and sample RMSEs, are insignificant. In addition, option prices are simulated with a pre-defined noise structure and …
Monte Carlo Simulation In Environmental Risk Assessment--Science, Policy And Legal Issues, Susan R. Poulter
Monte Carlo Simulation In Environmental Risk Assessment--Science, Policy And Legal Issues, Susan R. Poulter
RISK: Health, Safety & Environment (1990-2002)
Dr. Poulter notes that agencies should anticipate judicial requirements for justification of Monte Carlo simulations and, meanwhile, should consider, e.g., whether their use will make risk assessment policy choices more opaque or apparent.