This paper proposes consistent and asymptotically Gaussian estimators for the parameters <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\lambda , \sigma $$</EquationSource> </InlineEquation> and <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$H$$</EquationSource> </InlineEquation> of the discretely observed fractional Ornstein–Uhlenbeck process solution of the stochastic differential equation <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$d Y_t=-\lambda Y_t dt + \sigma d W_t^H$$</EquationSource> </InlineEquation>, where <InlineEquation ID="IEq4"> <EquationSource...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>

We derive an explicit form of a Markov basis on the junction tree for a decomposable log-linear model. Then we give a description of a Markov basis characterized by global Markov properties associated with the graph of a decomposable log-linear model and show how to use the Markov basis for...

Many construction methods for (nearly) uniform designs have been proposed under the centered <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$L_2$$</EquationSource> </InlineEquation>-discrepancy, and most of them are only suitable for constructing designs with small size. This paper proposes a new method, called mixture method (MM), to construct nearly...</equationsource></inlineequation>

We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zero-sum, stochastic differential game between the...

We study a non-cooperative game for joint replenishment by n firms that operate under an EOQ-like setting. Each firm decides whether to replenish independently or to participate in joint replenishment, and how much to contribute to joint ordering costs in case of participation. Joint...

In this paper, we propose a second-order corrector interior-point algorithm for semidefinite programming (SDP). This algorithm is based on the wide neighborhood. The complexity bound is $${O(\sqrt{n}L)}$$ for the Nesterov-Todd direction, which coincides with the best known complexity results for...

A multiple-partners assignment game with heterogeneous sales and multi-unit demands consists of a set of sellers that own a given number of indivisible units of potentially many different goods and a set of buyers who value those units and want to buy at most an exogenously fixed number of...

Weather information demonstrates predictive power in forecasting electricity prices in day-ahead markets in real time. In particular, next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices in terms of point and density forecasts. This suggests that...

When analyzing clustered count data derived from several latent subpopulations, the finite mixture of the Poisson mixed-effect model is an immediate strategy to model the underlying heterogeneity. Within the generalized linear mixed model framework, parameters in such a model are often estimated...