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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Fortiana Gregori, Josep - 2008
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data … outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset … of a cluster that represents a different segment of the market. We set up a framework of possible algorithm parameter …
Persistent link: https://www.econbiz.de/10011604994
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On the Solution of Markov-switching Rational Expectations Models
Carravetta, Francesco; Sorge, Marco M. - 2011
This paper describes a method for solving a class of forward-looking Markov-switching Rational Expectations models under noisy measurement, by specifying the unobservable expectations component as a general-measurable function of the observable states of the system, to be determined optimally...
Persistent link: https://www.econbiz.de/10010293377
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Uncertainty About the Persistence of Inflation
Pinkwart, Nicolas - 2010
This paper offers several contributions to actual research and discussion on monetary policy. It clarifies the relationship between uncertainty of inflation persistence and optimal monetary policy and discusses the consequences of the recent Blanchard proposal to implement a higher inflation...
Persistent link: https://www.econbiz.de/10010294706
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Solving a Production and Inventory Model with a Minimum Lot Size Constrain
Richter, Knut; Okhrin, Irena - 2007
The paper deals with the analysis of a special dynamic production and inventory model. In this model logical restrictions to fulfill an accepted constant minimal level of the production lot size are incorporated, instead of keeping setup cost in the objective function, as it is common in many...
Persistent link: https://www.econbiz.de/10010297260
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The linear dynamic lot size problem with minimum order quantities
Okhrin, Irena; Richter, Knut - 2010
algorithm based on the concept of minimal sub-problems. We present an optimal solution to a minimal sub-problem in an explicit … tests and the comparison with the published algorithm confirm the efficiency of the solution algorithm developed here. …
Persistent link: https://www.econbiz.de/10010302558
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An O(Tˆ3) algorithm for the capacitated lot sizing problem with minimum order quantities
Okhrin, Irena; Richter, Knut - 2010
technique to develop an O(T³) exact algorithm that is based on the concept of minimal sub-problems. An investigation of the … their optimality. In this way, we reduce the complexity of the algorithm considerably and confirm its efficiency in an …
Persistent link: https://www.econbiz.de/10010302566
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Polynomial Time Algorithms for Some Multi-Level Lot-Sizing Problems with Production Capacities
van Hoesel, Stan; Romeijn, H. Edwin; Morales, Dolores Romero - 2002
We consider a model for a serial supply chain in which production, inventory, and transportation decisions are integrated, in the presence of production capacities and for different transportation cost functions. The model we study is a generalization of the traditional single-item economic...
Persistent link: https://www.econbiz.de/10010324804
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Minimizing total weighted completion times subject to precedence constraints by dynamic programming
Drexl, Andreas; Kimms, Alf - 1998
In this paper we present a polynomial time dynamic programming algorithm for solving a scheduling problem with a (total …
Persistent link: https://www.econbiz.de/10011558733
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Bayesian Estimation of Dynamic Discrete Choice Models
Imai, Susumu; Jain, Neelam; Ching, Andrew - 2006
Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the … model becomes comparable to that of a static model. Another feature of our algorithm is that even though per solution …
Persistent link: https://www.econbiz.de/10011940732
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Option value and dynamic programming model estimates of social security disability insurance application timing
Burkhauser, Richard V.; Butler, J. S.; Gumus, Gulcin - 2003
This paper develops dynamic structural models - an option value model and a dynamic programming model - of the Social Security Disability Insurance (SSDI) application timing decision. We estimate the time to application from the point at which a health condition first begins to affect the kind...
Persistent link: https://www.econbiz.de/10010261643