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stat.ME2021
Non-parametric generalised newsvendor model
Soham Ghosh, Sujay Mukhoti
In classical newsvendor model, piece-wise linear shortage and excess costs are balanced out to determine the optimal order quantity. However, for critical perishable commodities, s…
stat.ME2016
Inverse problem for time-series valued computer model via scalarization
Pritam Ranjan, Mark Thomas, Holger Teismann +1
For an expensive to evaluate computer simulator, even the estimate of the overall surface can be a challenging problem. In this paper, we focus on the estimation of the inverse sol…
stat.ME2016
Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors
Sujay Mukhoti, Pritam Ranjan
In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in…