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The multidimensional lognormal diffusion process with exogenous factors is treated using the Kolmogorov equations, and the mean vector and covariance matrix are estimated using discrete sampling by the maximum‐likelihood method. Also, this process is constructed as a solution of a...
This paper presents the problem of the evaluation of the maximum likelihood estimator, when the likelihood function has multiple maxima, using the stochastic algorithm called ‘simulated annealing’. Analysis of the particular case of the decomposition of a mixture of five univariate normal...
One of the most important variables for manpower planners is duration until a specified event occurs. This is frequently the completed length of service until leaving a job, but may also include such variables as length of service in a grade until promotion, or length of a spell of withdrawal...
A hierarchical production control framework for a flexible manufacturing system is proposed. The machines in the system are subject to failures in a wide spectrum band. At first, failures are clustered near some discrete points on the failure spectrum in order to define the hierarchical model....
This article presents a model of insurance and investment risk diversification. An in‐depth analysis of the mathematical formulation of the risk is presented. In this regard, we introduce a new concept called the substitution principle to formulate the model rigorously. We show that, if the...
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