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The University of Southampton
The Care Life Cycle

Hypothesis verification for simulation models: Theory and applications Seminar

Time:
15:00 - 16:00
Date:
4 April 2014
Venue:
Building 58, Room1007

For more information regarding this seminar, please telephone Yvonne Richardson on 02380 598981 or email yr1@soton.ac.uk .

Event details

Joint CLC/CPC Seminar

In the presentation we propose a method of hypothesis verification for stochastic simulation models using samples of their outputs. A Bayesian procedure is developed to evaluate the probability that the hypothesis under investigation is true for a single simulation input. Next, we prove that the only coherent way of aggregating such probabilities over different simulation inputs is by averaging. Moreover, conditions for averaging to give consistent and asymptotically unbiased evaluation of input space proportion, for which the tested hypothesis is true, are given. Finally, it is shown that in hypothesis verification, under limited simulation effort capacity assumption, there is a bias-variance trade-off between the number of input points sampled and sample size per point. The obtained theoretical results are illustrated by analysis of a simulation model presented in paper "Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models" by Cont (2007).

Speaker information

Dr Bogumił Kamiński , Warsaw School of Economics. Dr Kamiński is Head of Decision Support and Analysis Division.

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