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math.ST2006★ 20 cited
Efficient likelihood estimation in state space models
Cheng-Der Fuh
Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in st…
math.ST2006★ 1 cited
Optimal strategies for a class of sequential control problems with precedence relations
Hock Peng Chan, Cheng-Der Fuh, Inchi Hu
Consider the following multi-phase project management problem. Each project is divided into several phases. All projects enter the next phase at the same point chosen by the decisi…