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The evaluation of a product or service in terms of its attributes has been broadly studied in marketing, management and decision sciences. However, methods for finding important attributes have theoretical and practical limitations. The former are related to the selection of the most appropriate...
This paper investigates the asymptotic theory of the least squares estimators (LSE) for a long-memory nearly unstable model when the innovation sequences are functionals of moving averages. It is shown that the limit distribution of the LSE is a functional of the Hermite Ornstein–Uhlenbeck...
Bivariate survival data occur in diverse disciplines such as financial mathematics (The European Journal of Finance 15 (2009), 609–618) and biostatistics (Twin Res. 4 (2001), 407–411). Different modeling approaches have been developed. Two standard approaches, the copula model and the frailty...
The Max-GWMA (called the Maximum Generally Weighted Moving Average) chart is comparable to the Max-EWMA (called the Maximum Exponentially Weighted Moving Average) chart for simultaneously monitoring the process mean and/or variability. These charts require fulfilling the usual assumption in...
We recall a concept called sub-independence, which is defined in terms of the convolution of the distributions of random variables, providing a stronger sense of dissociation between random variables than that of uncorrelatedness. In risk and decision analysis, the investigator may encounter a...
We study an optimal investment problem for an investor who faces a dynamic risk constraint in a Markovian regime-switching environment. The goal of the investor is to maximize the expected utility of terminal wealth subject to the dynamic risk constraint specified by a proportional Value at Risk...
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