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Full-Text Articles in Physical Sciences and Mathematics
On Maximum Likelihood Estimators For A Jump-Type Affine Diffusion Two-Factor Model, Jiaming Yin Mr.
On Maximum Likelihood Estimators For A Jump-Type Affine Diffusion Two-Factor Model, Jiaming Yin Mr.
Major Papers
We consider a jump-type two-factor affine diffusion model driven by a subordinator in the context of continuous time observations. We study the asymptotic properties of the maximum likelihood estimator (MLE) for the drift parameters. In particular, we prove the strong consistency and the asymptotic normality of MLE in the subcritical case. We also present some numerical illustrations to confirm the theoretical results. The main difficulty of this major paper consists in proving the ergodicity of the model in the subcritical case and deriving the limiting behavior of the process.
Optimal Speed Of A Machine In An Assembly Line Using The Continuous Time Markov Chain Rate Matrix, Chandi Darshani Rupasinghe
Optimal Speed Of A Machine In An Assembly Line Using The Continuous Time Markov Chain Rate Matrix, Chandi Darshani Rupasinghe
Major Papers
The optimal speed of a machine in an assembly line is determined using a Markov decision process type model. We develop the rate matrix that represents the inter-event time of a machine, either repair time or time to breakdown, as a function of speed. We consider the rate of time to breakdown with a variety of functions of speed. We find limiting probabilities and express profit in terms of these probabilities. We then find the optimal speed to maximize profit. Further, we assume an underlying function of speed and simulate data using R. From the simulated data, we estimate the …