On maximum likelihood estimation of the drift matrix of a degenerated O-U process

In this work, we consider a 2n-dimension OrnsteinUhlenbeck (OU) process with a singular diffusion matrix. This process represents a currently used model for mechanical systems subject to random vibrations. We study the problem of estimating the drift parameters of the stochastic differential equation that governs the OU process. The maximum likelihood estimator proposed and explored in Koncz (J Anal Math 13(1):7591, 1987) is revisited and applied to our model. We prove the local asymptotic normality property and the convergence of moments of the estimator. Simulation studies based on representative examples taken from the literature illustrate the obtained theoretical results. (c) 2016, Springer Science+Business Media Dordrecht

Design project planning, monitoring and re-planning through process simulation

Effective management of design schedules is a major concern in industry, since timely project delivery can have a significant influence on a company’s profitability. Based on insights gained through a case study of planning practice in aero-engine component design, this paper examines how task network simulation models can be deployed in a new way to support design process planning. Our method shows how simulation can be used to reconcile a description of design activities and information flows with project targets such as milestone delivery dates. It also shows how monitoring and re-planning can be supported using the non-ideal metrics which the case study revealed are used to monitor processes in practice. The approach is presented as a theoretical contribution which requires further work to implement and evaluate in practice

Modelling iteration in engineering design

This paper examines design iteration and its modelling in the simulation of New Product Development (NPD) processes. A framework comprising six perspectives of iteration is proposed and it is argued that the importance of each perspective depends upon domain-specific factors. Key challenges of modelling iteration in process simulation frameworks such as the Design Structure Matrix are discussed, and we argue that no single model or framework can fully capture the iterative dynamics of an NPD process. To conclude, we propose that consideration of iteration and its representation could help identify the most appropriate modelling framework for a given process and modelling objective, thereby improving the fidelity of design process simulation models and increasing their utility

Simulating intertwined design processes that have similar structures: A case study of a small company that creates made-to-order fashion products

The authors use simulation to analyse the resource-driven dependencies between concurrent processes used to create customised products in a company. Such processes are uncertain and unique according to the design changes required. However, they have similar structures. For simulation, a level of abstraction is chosen such that all possible processes are represented by the same activity network. Differences between processes are determined by the customisations that they implement. The approach is illustrated through application to a small business that creates customised fashion products. We suggest that similar techniques could be applied to study intertwined design processes in more complex domains.The case study was carried out as part of Considerate Design for Personalised Fashion funded by the EPSRC/AHRC Design in the 21st century programme. The context of a multi-project environment was analysed as part of the EU Framework 7 CONVERGE project CP-FP 228746-2.Post-prin

Simulation modelling and strategic change : creating the sustainable enterprise

Peer reviewedPublisher PD

A list of websites and reading materials on strategy & complexity

The list has been developed based on a broad interpretation of the subject of ‘strategy & complexity’. Resources will therefore more, or less directly relate to ‘being strategic in the face of complexity’. Many of the articles and reports referred to in the attached bibliography can be accessed and downloaded from the internet. Most books can be found at amazon.com where you will often find a number of book reviews and summaries as well. Sometimes, reading the reviews will suffice and will give you the essence of the contents of the book after which you do not need to buy it. If the book looks interesting enough, buying options are easy

Weak and Semi-Strong Form Stock Return Predictability, Revisited

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.

Weak and Semi-Strong Form Stock Return Predictability Revisited

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.