Peter Winker

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Efficient routines for multidimensional numerical integration are provided by quasi– Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the integration area. A set may be called representative if it shows a low discrepancy. However, in dimensions higher than two and for a large number of points the(More)
In this paper properties and construction of designs under a centered version of the L2-discrepancy are analyzed. The theoretic expectation and variance of this discrepancy are derived for random designs and Latin hypercube designs. The expectation and variance of Latin hypercube designs are significantly lower than that of random designs. While in(More)
Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. Although the outcomes of such simulations often exhibit similarities with real financial market time(More)
Censored quantile regressions (CQR) are a valuable tool in economics and engineering. The computation of estimators is highly complex and the performance of standard methods is not satisfactory, in particular if a high degree of censoring is present. Due to an interpolation property the computation of CQR estimates corresponds to the solution of a large(More)
Mean-variance portfolios have been criticized because of unsatisfying outof-sample performance and the presence of extreme and unstable asset weights, especially when the number of securities is large. The bad performance is caused by estimation errors in inputs parameters, that is the covariance matrix and the expected return vector. Recent studies show(More)
The rising trends both in drug addiction and crime rates are of major public concern in Germany. Surprisingly, the economic theory of crime seems to ignore the drugs–crime nexus, whereas the criminological literature considers illicit drug use a main reason of criminal activities. This paper provides an econometric assessment of the drugs–crime channel(More)