In this paper we describe on-line Bayesian filtering methods for time series models with heavy-tailed α-stable noise. The filtering methodology is based on a scale mixtures of normals (SMiN) representation of the α-stable distribution, which reexpresses the intractable stable distribution in a conditionally Gaussian form. We describe how the method can be used for estimation of TVAR signals bur...

In the current study, a thermal model was used to investigate the effects of welding parameters on the distribution of temperature in wide gap aluminothermic rail welds. To solve the governing thermal equation, SUTCAST, a finite difference program (FDM) was employed while different aspects such as phase change and convective heat transfer in weld pool were taken into account in the numerical so...

Distribution network design as a strategic decision has long-term effect on tactical and operational supply chain management. In this research, the location– allocation problem is studied under demand uncertainty. The purposes of this study were to specify the optimal number and location of distribution centers and to determine the allocation of customer demands to distribution centers. ...

We analyze a large roommate problem (i.e., marriage matching in which the marriage is not restricted solely to matchings between men and women) with non-transferable utility. It is well known that while a roommate problem may not have a stable proper matching, each roommate problem does have an stable improper matching. In a random utility model with types from Dagsvik (2000) and Menzel (2015),...

I derive a simple condition for the existence of a stable invariant distribution of an increasing Markov process on a non-compact state space. I use this condition in two workhorse models in macroeconomics. First, I settle a conjecture of Carroll by characterizing the conditions under which the canonical bu¤er stock saving model has a stable invariant distribution. Second, I show that in the Br...

We introduce a bivariate distribution supported on the first quadrant with exponential, and heavy tailed Mittag–Leffer, marginal distributions. Although this distribution belongs to the class of geometric operator stable laws, it is a rather special case that does not follow their general theory. Our results include the joint density and distribution function, Laplace transform, conditional dis...

It is a well-known fact that financial returns exhibit conditional heteroscedasticity and fat tails. While the GARCH-type models are very popular in depicting the conditional heteroscedasticity, the α-stable distribution is a natural candidate for the conditional distribution of financial returns. The α-stable distribution is a generalization of the normal distribution and is described by four ...