In this paper, our proposal is to combine univariate ARMA models to produce a variant of the VARMA model that is much more easily implementable and does not involve certain complications. The original model is reduced to a series of univariate problems and a copula – like term (a...

We revisit the simplicial approximation scheme of [43, 44, 45] with a new randomized approach for selecting the grid points of the Bellman function’s piecewise linear approximation in a stochastic dynamic programming model for multireservoir optimization. Unlike the previous approach that...

Assuming the time series of random returns to be jointly elliptical, we derive a relationship between its conditional variance and the probability density function of the conditioning set. In the case that such a relationship is linear in a quadratic form for of the conditioning variables, we...

We study inference for threshold regression in the context of a large panel factor model with common stochastic trends. We develop a Least Squares estimator for the threshold level, deriving almost sure rates of convergence and proposing a novel, testing based, way of constructing confidence...

Algorithms for simulation of a Lévy process X(t) are discussed, with particular emphasis on two algorithms approximating jumps that are in some sense small. One is classical, defining small jumps as those of small absolute value. The other one appears to be new and relies on an completely...

In this paper we exploit properties of the likelihood function of the stochastic volatility model to show that it can be approximated accurately and efficiently using a response surface methodology. The approximation is across the plausible range of parameter values and all possible data and is...

We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponential utility. In this paper we show that this problem is convex, and readily solved exactly using domain-specific...

Fixed costs of ordering items or setting up a process arise in many real-life scenarios. In their presence, the most widely used ordering policy in the stochastic inventory literature is the (s, S) policy. Optimality of (s, S) policies and (s, S)-type policies have been investigated for various...

We propose estimators and analyze their large-sample distribution for two problems, data-oriented expected performance evaluation and data-oriented stochastic optimization, in presence of a specific class of non-stationarities in the observed data. The considered non-stationarities reflect...

Much of the previous research on supply network resilience examined what capabilities firms should develop and how they develop the capabilities as resilience investment. However, what has received less attention is where to invest resilience in the network. Scholars have debated over what nodes...