岭南学术论坛－金融学系列Seminar－A Misspecification Test for Simulation Metamodels

第513期岭南学术论坛（金融学系列Seminar）

报告题目：A Misspecification Test for Simulation Metamodels

报 告 人：刘光梧（香港城市大学商学院 教授）

主 持 人：刘彦初（中山大学岭南学院 副教授）

时     间： 2018年11月16日（周五）下午14:30-16:00

地     点：岭南堂林植宣会议室

语     言： 中文+英文

摘要：

Simulation metamodels have been widely used to study complex stochastic systems in a variety of applications ranging from optimization of service systems to measurement of financial risk. In such contexts, assessment of the adequacy of the metamodels in use plays a critical role in decision making. In this talk, we propose a quantitative measure, referred to as mean squared discrepancy (MSD), to quantify metamodel adequacy. Built upon this discrepancy measure, we further propose a misspecification test for simulation metamodels. Asymptotic properties of both the MSD estimator and misspecification test are analyzed, to demonstrate the effectiveness of the proposed discrepancy measure and the misspecification test.

报告人介绍：

Dr. Guangwu Liu is currently a professor in the Department of Management Sciences, College of Business at City University of Hong Kong. His research interests include stochastic simulation, financial engineering and risk management. He has published in top journals of the field, including ACM Transactions on Modeling and Computer Simulation, INFORMS Journal on Computing, Management Science, and Operations Research.

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        中山大学岭南学术论坛分经济、金融和管理三个系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。