We provide several illustrations of Bayesian semiparametric regression analyses in the BRugs package. BRugs facilitates use of the BUGS inference engine from the R computing environment and allows analyses to be managed ...
The Metropolis-Hastings algorithm has been important in the recent development of Bayes methods. This algorithm generates random draws from a target distribution utilizing a sampling (or proposal) distribution. This article ...
This research monograph concerns the design and analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by ·Wiener processes and Poisson processes or Poisson jump measures, In financial ...
Many organizational decision problems can be formulated by multi-objective linear programming (MOLP) models. Referring to the imprecision inherent in human judgments, uncertainty may be incorporated in the parameters of ...
We find a solution of the optimal stopping problem for the case when a reward function is an integer function of a random walk on an infinite time interval. It is shown that an optimal stopping time is a first crossing ...
We study a piece-wise deterministic Markov process having jumps of i.i.d. sizes with a constant intensity and decaying at a constant rate (a special case of a storage process with a general release rule). Necessary and ...
The paper deals with the problem of finding an optimal one-time rebalancing strategy assuming that in the BlackâScholes model the drift term of the stock may change its value spontaneously at some random non-observable ...
We present identities that we feel can be regarded as higher order analogues of the well-known identity F; + F;+l = Hn+l. We give three theorems corresponding to the powers 4, 6, and 8. We also state two conjectures that ...
Wong, D; So, MK(Institute of Statistical Science, Academia Sinica & International Chinese Statistical Association, 2003-01)
In this article, the exact conditional second and fourth moments of returns and their temporal aggregates are derived under GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are ...
Sufficient conditions for the exponential boundedness of first passage times of autoregressive (AR(1)) sequences are derived in this paper. An identity involving the mean of the first passage time is obtained. Further, ...
We study entanglement-assisted quantum and classical communication over a single use of a quantum channel, which itself can correspond to a finite number of uses of a channel with arbitrarily correlated noise. We obtain ...
In this paper, we use Fredholm second kind integral equations method to solve the corresponding Average Run Length (ARL), when the observations of a random process are serially-correlated. We derive explicit expressions ...