GTAP Resources: Resource Display
GTAP Resource #3111 |
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"Correlated Order Three Gaussian Quadratures in Stochastic Simulation Modelling" by Artavia, Marco, Harald Grethe, Thordis Moeller and Georg Zimmermann Abstract A simple approach to generate correlated order three Gaussian quadratures is presented. It is shown how for stochastic simulation modelling purposes the integration over the n-cube as suggested in Stroud (1957) is not necessary and thus, a simpler integration formula is given. The theory of inducing a desired covariance matrix is presented and three possibilities to do so are demonstrated. The approach described is implemented in a stochastic version of the European Simulation Model (ESIM) which includes 42 correlated stochastic terms in the yield functions. Model results are presented to validate the proposed approach compared to a Monte Carlo based approach as well as to demonstrate the relevance of stochastic simulation modelling. |
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- Software and modeling tools - Calibration and parameter estimation - European Union |
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Last Modified: 9/15/2023 1:05:45 PM