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The scale, scope and complexity of the manufacturing operations in a semiconductor fab lead to some unique challenges in ensuring product quality and production efficiency. We describe the use of various analytical techniques, based on data mining, process trace data analysis, stochastic...
A multiple‐regime threshold nonlinear financial time series model, with a fat‐tailed error distribution, is discussed and Bayesian estimation and inference are considered. Furthermore, approximate Bayesian posterior model comparison among competing models with different numbers of regimes is...
The main purpose of this paper is to perform a sensitivity analysis where we quantify and analyse the effects on the mean of the profit on an Income Protection policy and two risk measures of changing the values of the transition intensities. All the calculations carried out are based on a...
We study a mean–variance investment problem in a continuous‐time framework where the interest rates follow Cox–Ingersoll–Ross dynamics. We construct a mean–variance efficient portfolio through the solutions of backward stochastic differential equations. We also give sufficient conditions under...
Performance data are usually collected in order to build well‐defined performance indicators. Since such data may conceal additional information, which can be revealed by secondary analysis, we believe that mining of performance data may be fruitful. We also note that performance databases...
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