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Bayesian failure-rate modeling and preventive maintenance optimization

Belyi, Dmitriy; Popova, Elmira; Morton, David P.; … - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1085-1093

Persistent link: https://www.econbiz.de/10011802470

A Bayesian stochastic Kriging optimization model dealing with heteroscedastic simulation noise for freeway traffic management

Chen, Xiqun Michael; He, Xiang; Xiong, Chenfeng; Zhu, Zheng - In: Transportation science : a journal of the Institute for … 53 (2019) 2, pp. 545-565

Persistent link: https://www.econbiz.de/10012022510

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526

Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …

Persistent link: https://www.econbiz.de/10014164616

Particle filters for Markov switching stochastic volatility models

Yun, Bao; Chiarella, Carl; Kang, Boda - In: The Oxford handbook of computational economics and finance, (pp. 249-266). 2018

Persistent link: https://www.econbiz.de/10011952212

Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - In: The Oxford handbook of computational economics and finance. 2018

Persistent link: https://www.econbiz.de/10013475840

Augmented Markov chain Monte Carlo simulation for two-stage stochastic programs with recourse

Ekin, Tahir; Polson, Nicholas G.; Soyer, Refik - In: Decision analysis : a journal of the Institute for … 11 (2014) 4, pp. 250-264

Persistent link: https://www.econbiz.de/10010467454

Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Parameter learning and change detection using a particle filter with accelerated adaptation

Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 9 (2021) 12, pp. 1-18

shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …

Persistent link: https://www.econbiz.de/10012794245