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Bayesian switching multiple disorder problems

Gapeev, Pavel V. - In: Mathematics of operations research 41 (2016) 3, pp. 1108-1124

Persistent link: https://www.econbiz.de/10011520840

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

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

Portfolio optimization under partial information: stochastic volatility in a hidden Markov model

Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004

Persistent link: https://www.econbiz.de/10002072557

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

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

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

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867