published_or_final_version / Economics / Master / Master of Social Sciences

In this paper we consider three topics in reliability and maintenance. Their common feature is the explicit consideration of interdependence, either amongst components within a machine, amongst stages in a logistics chain, or amongst machines sharing maintenance facilities. Chapter 1 examines measures of the contribution of a component towards a system's reliability; these measures include structural importance, marginal reliability importance, joint reliability importance, and link importance. We review these different measures and examine how they relate to each other. We show that some structural results previously derived for independent components continue to hold for associated components. We then propose extensions to each importance measure to cover components which have two failure modes rather than the conventional one, and show that these extensions largely retain the properties of the original definitions. Chapter 2 examines a system containing one machine subject to random failure, for which we wish to determine a maintenance policy and a spare ordering policy. We consider the solvability and desirability of jointly optimizing these two traditionally separate policies. We discuss why the general form of the problem is intractable and show how it might be approached using bounds and heuristic policies; more importantly, we examine several special cases which are more tractable. Particular attention is paid to systems which contain only one spare at a time; we show that these systems have some convexity properties which facilitate cost minimization. We subsequently consider systems which allow more than one spare, but make use of other restrictions or assumptions to simplify analysis. Chapter 3 examines how to coordinate maintenance for machines sharing repair facilities, a task which is commonly called the machine repairman problem. Existing studies of this problem make the restrictive assumption that repairs are performed only after machine failure; our work extends the machine repairman model by allowing preventive repair. We derive analytical results for a single critical age repair policy, and then use numerical studies to investigate other heuristic policies which can improve the system's cost effectiveness.

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Thesis (Ph. D.)--University of Wisconsin--Madison, 1974. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references.

In this thesis we define and study the existence of an equilibrium situation in which producers maximize their profits relative to the production vectors in their production sets, consumers satisfy their preferences in their consumption sets under certain budget constraint, and for every commodity total demand equals total supply. This competitive equilibrium situation is referred to as the Walrasian equilibrium. The existence of this equilibrium is investigated from a various mathematical points of view. These include microeconomic theory, simplicial spaces, global analysis and lattice theory.

This thesis considers the problem of estimating limited dependent variable models when the latent residuals are heteroskedastic normally distributed random variables. Commonly used estimators are generally inconsistent in such situations. Two estimation methods that allow consistent estimation of the parameters of interest are presented and shown to be consistent when the latent residuals are heteroskedastic of unknown form. Both estimators use recent advances in the econometric literature on nonparametric estimation and deal with the unknown form of heteroskedasticity by approximating the variance using a Fourier series type approximation. The first estimator is based on the method of maximum likelihood and involves maximising the likelihood function by choice of the parameters of the variance function approximation and the other parameters of interest. Consistency is shown to hold in the three most popular limited dependent variable models — the Probit, Tobit, and sample selection models — provided that the number of terms in the approximation increases with the sample size. The second estimator, which can be used to estimate the Tobit and sample selection models, is based on a two-step procedure, using Fourier series approximations in both steps. Consistency and asymptotic normality are proven under restrictions on the rate of increase of the number of parameters in the approximating functions. Finally, a small Monte Carlo experiment is conducted to examine the small sample properties of the estimators. The results show that the estimators perform quite well and in many cases reduce the bias, relative to the commonly used estimators, with little or no efficiency loss. / Arts, Faculty of / Vancouver School of Economics / Graduate

In this paper we consider three topics in reliability and maintenance. Their common feature is the explicit consideration of interdependence, either amongst components within a machine, amongst stages in a logistics chain, or amongst machines sharing maintenance facilities. Chapter 1 examines measures of the contribution of a component towards a system's reliability; these measures include structural importance, marginal reliability importance, joint reliability importance, and link importance. We review these different measures and examine how they relate to each other. We show that some structural results previously derived for independent components continue to hold for associated components. We then propose extensions to each importance measure to cover components which have two failure modes rather than the conventional one, and show that these extensions largely retain the properties of the original definitions. Chapter 2 examines a system containing one machine subject to random failure, for which we wish to determine a maintenance policy and a spare ordering policy. We consider the solvability and desirability of jointly optimizing these two traditionally separate policies. We discuss why the general form of the problem is intractable and show how it might be approached using bounds and heuristic policies; more importantly, we examine several special cases which are more tractable. Particular attention is paid to systems which contain only one spare at a time; we show that these systems have some convexity properties which facilitate cost minimization. We subsequently consider systems which allow more than one spare, but make use of other restrictions or assumptions to simplify analysis. Chapter 3 examines how to coordinate maintenance for machines sharing repair facilities, a task which is commonly called the machine repairman problem. Existing studies of this problem make the restrictive assumption that repairs are performed only after machine failure; our work extends the machine repairman model by allowing preventive repair. We derive analytical results for a single critical age repair policy, and then use numerical studies to investigate other heuristic policies which can improve the system's cost effectiveness. / Business, Sauder School of / Graduate

Wang Xin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 61-63). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction and Literature Review --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- The Objective --- p.2 / Chapter 1.3 --- Literature Review --- p.3 / Chapter Chapter 2 --- The Model --- p.7 / Chapter Chapter 3 --- The Consistent Estimation of Chang-Point --- p.11 / Chapter 3.1 --- The Consistency of ιT --- p.11 / Chapter 3.2 --- The Case of Single Regressor --- p.15 / Chapter Chapter 4 --- The SupWald Test and Sample-Splitting Method --- p.20 / Chapter 4.1 --- The SupWald Test --- p.20 / Chapter 4.2 --- " The Distribution of WT (ι,0,1)" --- p.23 / Chapter 4.3 --- The Sample-Splitting Method --- p.25 / Chapter Chapter 5 --- Experimental Results --- p.27 / Chapter Chapter 6 --- Empirical Example --- p.41 / Chapter Chapter 7 --- Conclusion --- p.44 / Appendix --- p.46 / References --- p.61

这篇论文研究了当假设的数据分布与实际不符时估计多维乘积误差模型参数的方法，和该模型在预测领域的应用。论文的第一部分讨论了两种在以前的文献中被用来估计该模型的估计方法：最大似然估计法和广义矩估计法。并在对数据做了不同的干扰后比较了这两种方法。比较结果显示这两种方法都易受偏离值的影响。因此论文的第二部分提出了一种新的估计方法：权重经验似然估计法。在模拟实验和使用包含了当前经济危机间断数据的标准普尔指数的实际实验中，对比最大似然估计法和广义矩估计法，权重经验似然函数显示出了对偏离值有更好的抗性。论文的第三部分进一步研究了多维乘积误差模型在预测中的应用。并且这一部分还提出了实波动性的一种新的分解方式。分解得到的两个新的变量可以被多维乘积误差模型所模拟。通过比较标准普尔指数和纳斯达克指数的预测结果，比起以前用来估计实波动性的三种模型，多维乘积向量模型和新的分解方式显示出了更强的预测能力。 / This thesis studies the estimations of vector Multiplicative Error Model (MEM) under different kinds of model mismatches and its application in forecasting. In the first part of the thesis, two estimation methods, Maximum Likelihood (ML) method and Generalized Method of Moments (GMM), which have previously been used on vector MEM, are compared through different situations of data contaminations. From the comparison results it is found that both ML and GMM estimators are suspected to outliers in data. Therefore in the second part of the thesis a novel estimator is proposed: Weighted Empirical Likelihood (WEL) estimator. It is shown to be more robust than ML and GMM estimators in simulations, and also in forecasting realized volatility and bipower volatility of S&P 500 stock index including the current financial crisis period. The forecast ability of vector MEM is further addressed in the third part of the thesis, where an alternative decomposition of realized volatility is proposed, and vector MEM is used to model and forecast the two components of realized volatility. From the realized volatility forecasts of S&P 500, NASDAQ and Dow Jones, this decomposition together with vector MEM are illustrated to have superior performances over three competing models which have been applied on forecasting realized volatility before. / Detailed summary in vernacular field only. / Ding, Hao. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 203-213). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Outline of the thesis --- p.5 / Chapter 1.2 --- Conclusion --- p.7 / Chapter 2 --- Background study --- p.9 / Chapter 2.1 --- Multiplicative Error Model --- p.9 / Chapter 2.1.1 --- Introduction --- p.9 / Chapter 2.1.2 --- Developments of MEM --- p.12 / Chapter 2.1.3 --- Vector MEM --- p.17 / Chapter 2.2 --- Two functions for multivariate analysis --- p.25 / Chapter 2.2.1 --- Copula function --- p.25 / Chapter 2.2.2 --- Depth function --- p.32 / Chapter 3 --- Two Estimators for Vector MEM --- p.39 / Chapter 3.1 --- Two Stage Maximum Likelihood --- p.40 / Chapter 3.1.1 --- Introduction --- p.41 / Chapter 3.1.2 --- Simulation of two stage ML --- p.44 / Chapter 3.2 --- Maximum Likelihood estimator --- p.48 / Chapter 3.2.1 --- Derivatives of score function --- p.50 / Chapter 3.3 --- GMM estimator --- p.57 / Chapter 3.4 --- Comparing ML and GMM through simulations --- p.60 / Chapter 3.4.1 --- Generation of clean data --- p.61 / Chapter 3.4.2 --- Data contamination --- p.62 / Chapter 3.4.3 --- Optimization --- p.64 / Chapter 3.4.4 --- Resutls on clean data --- p.65 / Chapter 3.4.5 --- Results on contaminated data --- p.66 / Chapter 3.5 --- conclusion --- p.69 / Chapter 4 --- Weighted Empirical Likelihood Estimator --- p.77 / Chapter 4.1 --- Introduction --- p.78 / Chapter 4.2 --- Vector multiplicative error model and two estimation methods --- p.83 / Chapter 4.3 --- Weighted Empirical Likelihood --- p.88 / Chapter 4.3.1 --- Inner optimization --- p.93 / Chapter 4.3.2 --- Calculation of weights --- p.97 / Chapter 4.4 --- Simulation study on outliers --- p.101 / Chapter 4.4.1 --- Clean data --- p.103 / Chapter 4.4.2 --- Outliers --- p.105 / Chapter 4.4.3 --- Simulation results --- p.108 / Chapter 4.5 --- Computations of high dimension vector MEM --- p.111 / Chapter 4.5.1 --- The influences of dimension on ML --- p.111 / Chapter 4.5.2 --- The influences of dimension on GMM --- p.113 / Chapter 4.5.3 --- The influences of dimension on WEL --- p.115 / Chapter 4.5.4 --- Simulation --- p.116 / Chapter 4.6 --- Compare weighted empirical likelihood and empirical likelihood --- p.118 / Chapter 4.7 --- Empirical example --- p.121 / Chapter 4.7.1 --- Model --- p.123 / Chapter 4.7.2 --- Forecast comparison criteria --- p.125 / Chapter 4.7.3 --- Results --- p.126 / Chapter 4.8 --- Conclusions --- p.127 / Chapter 5 --- Forecast RV by Vector MEM --- p.142 / Chapter 5.1 --- Introduction --- p.143 / Chapter 5.2 --- Multiplicative jump and vector MEM --- p.148 / Chapter 5.2.1 --- Multiplicative jump --- p.148 / Chapter 5.2.2 --- Vector MEM for jump and continuous components --- p.153 / Chapter 5.3 --- Empirical analysis --- p.156 / Chapter 5.3.1 --- Data summary --- p.157 / Chapter 5.3.2 --- Models --- p.160 / Chapter 5.3.3 --- Forecast comparison criteria --- p.164 / Chapter 5.3.4 --- Before-crisis period --- p.166 / Chapter 5.3.5 --- Crisis period --- p.172 / Chapter 5.3.6 --- Comparing M-jump and log M-jump --- p.176 / Chapter 5.3.7 --- Conclusion on empirical analysis --- p.183 / Chapter 5.4 --- Conclusion --- p.185 / Chapter 6 --- Conclusion and future Work --- p.198 / Bibliography --- p.203

Thesis. 1976. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / Microfiche copy available in Archives and Dewey. / Vita. / Bibliography: leaves 26-28, 79-80. / Learning behavior and the noncooperative equilibrium.--A game of fair division. / Ph.D.