Showing 1 - 10 of 308
Financial returns often present moderate skewness and high kurtosis. As a consequence, it is natural to look for a model that is exible enough to capture these characteristics. The proposal is to undertake inference for a generalized autoregressive conditional heteroskedastic (GARCH) model,...
Persistent link: https://www.econbiz.de/10010552281
Firms face a continuous process of technological and environmental changes that implies making managerial decisions in a dynamic context. However, costs and other constraints prevent firms from making instant adjustments towards optimal conditions and may cause inefficiency to be persistent in...
Persistent link: https://www.econbiz.de/10010861859
In this paper, we describe how to make Bayesian inference for the transient behaviour and busy period in a single server system with general and unknown distribution for the service and interarrival time. The dense family of Coxian distributions is used for the service and arrival process to the...
Persistent link: https://www.econbiz.de/10005249600
This article deals with Bayesian inference and prediction for M/G/1 queueing systems. The general service time density is approximated with a class of Erlang mixtures which are phase type distributions. Given this phase type approximation, an explicit evaluation of measures such as the...
Persistent link: https://www.econbiz.de/10005249640
A great number of articles have dealt with stochastic comparisons of ordered random variables in the last decades. In particular, distributional and stochastic properties of ordinary order statistics have been studied extensively in the literature. Sequential order statistics are proposed as an...
Persistent link: https://www.econbiz.de/10009643091
Estimation of the one sided error component in stochastic frontier models may erroneously attribute firm characteristics to inefficiency if heterogeneity is unaccounted for. However, it is not clear in general in which component of the error distribution the covariates should be included. In the...
Persistent link: https://www.econbiz.de/10010548938
Bacterial growth models are commonly used for the prediction of microbial safety and the shelf life of perishable foods. Growth is affected by several environmental factors such as temperature, acidity level and salt concentration. In this study, we develop two models to describe bacterial...
Persistent link: https://www.econbiz.de/10010555101
In this article we describe a method for carrying out Bayesian inference for the double Pareto lognormal (dPlN) distribution which has recently been proposed as a model for heavy-tailed phenomena. We apply our approach to inference for the dPlN/M/1 and M/dPlN/1 queueing systems. These systems...
Persistent link: https://www.econbiz.de/10005196582
This paper introduces a new non-parametric approach to the modeling of circular data, based on the use of Bernstein polynomial densities which generalizes the standard Bernstein polynomial model to account for the specific characteristics of circular data. It is shown that the trigonometric...
Persistent link: https://www.econbiz.de/10008505990
In this paper we consider the problem of identifiability of the two-state Markovian Arrival process (MAP2). In particular, we show that the MAP2 is not identifiable and conditions are given under which two different sets of parameters, induce identical stationary laws for the observable process.
Persistent link: https://www.econbiz.de/10008496373