The Centre for Population Change will be hosting a seminar by Bogumil Kaminski, visiting from the Warsaw School of Economics, who will be discussing hypothesis verification for simulation models.
The presentation will 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, it will be proved 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).
The seminar will take place on 4 April 2014 at 3pm in B58/1007, Highfield Campus. All are welcome. Please see www.cpc.ac.uk/seminars for further information.