Displaying similar documents to “Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior”

Algorithm for turnpike policies in the dynamic lot size model

Stanisław Bylka (1996)

Applicationes Mathematicae

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This article considers optimization problems in a capacitated lot sizing model with limited backlogging. Nothing is assumed about the cost function in the case of finite restrictions of the size on the stock and backlogs. The holding and backlogging costs are functions assumed to be stationary or nearly stationary in time. In both cases, it is shown that there exists an optimal infinite inverse policy and a periodical turnpike policy. Some forward and backward procedures are adopted...

Bayesian nonparametric estimation of hazard rate in monotone Aalen model

Jana Timková (2014)

Kybernetika

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This text describes a method of estimating the hazard rate of survival data following monotone Aalen regression model. The proposed approach is based on techniques which were introduced by Arjas and Gasbarra [4]. The unknown functional parameters are assumed to be a priori piecewise constant on intervals of varying count and size. The estimates are obtained with the aid of the Gibbs sampler and its variants. The performance of the method is explored by simulations. The results indicate...

Robust median estimator for generalized linear models with binary responses

Tomáš Hobza, Leandro Pardo, Igor Vajda (2012)

Kybernetika

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The paper investigates generalized linear models (GLM's) with binary responses such as the logistic, probit, log-log, complementary log-log, scobit and power logit models. It introduces a median estimator of the underlying structural parameters of these models based on statistically smoothed binary responses. Consistency and asymptotic normality of this estimator are proved. Examples of derivation of the asymptotic covariance matrix under the above mentioned models are presented. Finally...

An optimality system for finite average Markov decision chains under risk-aversion

Alfredo Alanís-Durán, Rolando Cavazos-Cadena (2012)

Kybernetika

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This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown...

Limits of Bayesian decision related quantities of binomial asset price models

Wolfgang Stummer, Wei Lao (2012)

Kybernetika

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We study Bayesian decision making based on observations X n , t : t { 0 , T n , 2 T n , ... , n T n } ( T > 0 , n ) of the discrete-time price dynamics of a financial asset, when the hypothesis a special n -period binomial model and the alternative is a different n -period binomial model. As the observation gaps tend to zero (i. e. n ), we obtain the limits of the corresponding Bayes risk as well as of the related Hellinger integrals and power divergences. Furthermore, we also give an example for the “non-commutativity” between Bayesian statistical...