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Comparison of Gaussian process modeling software
Erickson, Collin B.; Ankenman, Bruce E.; Sanchez, Susan M. - In: European journal of operational research : EJOR 266 (2018) 1, pp. 179-192
Persistent link: https://www.econbiz.de/10011811641
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A new state-dependent degradation process and related model misidentification problems
Giorgio, Massimiliano; Pulcini, Gianpaolo - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1027-1038
Persistent link: https://www.econbiz.de/10011812871
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Bayesian treed Gaussian process models with an application to computer modeling
Gramacy, Robert B.; Lee, Herbert K. H. - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 1119-1130
Persistent link: https://www.econbiz.de/10003773116
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A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18
In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...
Persistent link: https://www.econbiz.de/10012128012
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A generalized contagion process with an application to credit risk
Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011686792
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Impact of volatility clustering on equity indexed annuities
Hainaut, Donatien - In: Insurance / Mathematics & economics 71 (2016), pp. 367-381
Persistent link: https://www.econbiz.de/10011630885
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Moment generating function of non-Markov self-excited claims processes
Hainaut, Donatien - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 406-424
Persistent link: https://www.econbiz.de/10012793934
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Selection criteria in regime switching conditional volatility models
Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316
loss functions can lead to misspecification ; BIC sometimes indicates the wrong regime switching framework. Depending on …
Persistent link: https://www.econbiz.de/10011297653
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Beta autoregressive moving average model selection with application to modeling and forecasting stored hydroelectric energy
Cribari-Neto, Francisco; Scher, Vinícius T.; Bayer, … - In: International journal of forecasting 39 (2023) 1, pp. 98-109
Persistent link: https://www.econbiz.de/10014462770
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A visual analysis of the process of process modeling
Claes, Jan; Vanderfeesten, Irene; Pinggera, Jakob; … - In: Information systems and e-business management : ISeB 13 (2015) 1, pp. 147-190
Persistent link: https://www.econbiz.de/10010513422