排序方式: 共有24条查询结果,搜索用时 343 毫秒
21.
Emrah Altun 《Statistics》2019,53(2):364-386
In this paper, we introduce a new distribution, called generalized Gudermannian (GG) distribution, and its skew extension for GARCH models in modelling daily Value-at-Risk (VaR). Basic structural properties of the proposed distribution are obtained including probability density and cumulative distribution functions, moments, and stochastic representation. The maximum likelihood method is used to estimate unknown parameters of the proposed model and finite sample performance of maximum likelihood estimates are evaluated by means of Monte-Carlo simulation study. The real data application on Nikkei 225 index is given to demonstrate the performance of GARCH model specified under skew extension of GG innovation distribution against normal, Student's-t, skew normal and generalized error and skew generalized error distributions in terms of the accuracy of VaR forecasts. The empirical results show that the GARCH model with GG innovation distribution produces the most accurate VaR forecasts for all confidence levels. 相似文献
22.
Due to their importance in industry and mathematical complexity, dynamic demand lot-sizing problems are frequently studied. In this article, we consider coordinated lot-size problems, their variants and exact and heuristic solutions approaches. The problem class provides a comprehensive approach for representing single and multiple items, coordinated and uncoordinated setup cost structures, and capacitated and uncapacitated problem characteristics. While efficient solution approaches have eluded researchers, recent advances in problem formulation and algorithms are enabling large-scale problems to be effectively solved. This paper updates a 1988 review of the coordinated lot-sizing problem and complements recent reviews on the single-item lot-sizing problem and the capacitated lot-sizing problem. It provides a state-of-the-art review of the research and future research projections. It is a starting point for anyone conducting research in the deterministic dynamic demand lot-sizing field. 相似文献
23.
The System Dynamics approach to modeling social systems appears to be gaining rapid acceptance as a legitimate tool of management science even as it still evokes controversy. Some of its basic assumptions, strategies and conventions are indicated. Modeling with this methodology is described. Primarily for pedagogical reasons, four approaches to starting a model are identified with some indications as to which of some of the published models might have used them. Finally, the issue of nonlinear relationships is raised. Some of the ways in which this matter can be dealt with are sketched. 相似文献
24.
We consider an important topic from the traditional quality literature-the impact of conformance quality of a manufactured product on the preventive maintenance costs to downstream users of this product. Folk wisdom supports the notion that higher conformance quality translates into lower maintenance costs (as well as other components of life-cycle costs) for these users. We examine this proposition in some detail on the basis of a failure-time model that relates conformance quality to reliability. We consider both repairable and nonrepairable items that are maintained by a block-replacement or a minimal-repair strategy. In addition to maintenance cycles and costs, we discuss the value of information to the user as to the actual production quality, and the value of inspection. 相似文献