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Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints
Escudero Bueno, Laureano F.; Garín Martín, María Araceli
; Merino Maestre, María ; Pérez Sainz de Rozas, Gloria (2015)
In this work we extend to the multistage case two recent risk averse measures for two-stage stochastic programs based on first- and second-order stochastic dominance constraints induced by mixed-integer linear recourse. ... -
A Note on Wavelet Correlation and Cointegration
Fernández Macho, Francisco Javier (2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are ... -
Seasonal Stability Tests in gretl. An Application to International Tourism Data
Díaz-Emparanza Herrero, Ignacio; Moral Zuazo, María Paz (2013-09)
The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small ... -
Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage
; Garín Martín, María Araceli; Merino Maestre, María ; Pérez Sainz de Rozas, Gloria (2013-07)
We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We consider a stochastic model ...