Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...

We consider the problem of obtaining “nice” quadrangulations of planar sets of points. For many applications “nice” means that the quadrilaterals obtained are convex if possible and as “fat” or squarish as possible. For a given set of points a quadrangulation, if it exists, may not admit all its quadrilaterals to be convex. In such cases we desire that the quadrangulations have as many convex q...

In many practical situations, multiple variables often need to be monitored simultaneously to ensure the process is in control. In this article, we develop a feasible multivariate monitoring procedure based on the general Multivariate Exponentially Weighted Moving Average (MEWMA) to monitor the multivariate count data. The multivariate count data is modeled using Poisson-Lognormal distribution ...

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data—functional, time dependent, and multivariate components—we extend hierarchical dynamic linear models for multivariate time series to the functional data setting. We also develop Bayesian spline theory in a more general constrained optimization fr...

due to successes of fingerprinting method in producing rapid and low-cost information of sediment sources, in this research this method was used in three sub-cathments of chasht-khoran basin in semnan province: amrovan, atari and ali-abad. samples below 63 μm were separated and 15 fingerprinting propertis was measured. in the first stage comparison of means and differentiation analysis were use...

partial least squares modeling as a powerful multivariate statistical tool was applied tothe simultaneous spectrophotometric determination of silicate and phosphate in aqueoussolutions. the concentration range for silicate and phosphate were 0.02-0.6 and 0.4-3 μg ml-1,respectively. the experimental calibration set was composed with 30 sample solutions using amixture design for two component mix...

the multivariate exponentially weighted moving average (mewma) control chart is one of the best statistical control chart that are usually used to detect simultaneous small deviations on the mean of more than one cross-correlated quality characteristics. the economic design of mewma control charts involves solving a combinatorial optimization model that is composed of a nonlinear cost function ...

multivariate process capability indices (mpci) show how well a manufacturing process can meet specifica-tion limits when quality characteristics enclose a relative correlation. process capability is an important and commonly used metric for assessing and improving the quality of a production process. when quality charac-teristics of a product are correlated then an attractive comes close to mpc...

Several Internet-of-Things (IoT) applications provide location-based services, wherein it is critical to obtain accurate position estimates by aggregating information from individual sensors. In the recently proposed narrowband IoT (NB-IoT) standard, which trades off bandwidth gain wide coverage, location estimation compounded low sampling rate receivers and limited-capacity links. We address b...