Journal of Applied Probability
SCOPUS (1975-1979,1981-1990,1995-2023)SCIE-ISI
0021-9002
1475-6072
Anh Quốc
Cơ quản chủ quản: Cambridge University Press , CAMBRIDGE UNIV PRESS
Lĩnh vực:
Statistics and ProbabilityMathematics (miscellaneous)Statistics, Probability and Uncertainty
Các bài báo tiêu biểu
On the genealogy of large populationsA new Markov chain is introduced which can be used to describe the family relationships amongn individuals drawn from a particular generation of a large haploid population. The properties of this process can be studied, simultaneously for all n, by coupling techniques. Recent results in neutral mutation theory are seen as consequences of the genealogy described by...
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Multivariate Hawkes processes: an application to financial dataA Hawkes process is also known under the name of a self-exciting point process and has numerous applications throughout science and engineering. We derive the statistical estimation (maximum likelihood estimation) and goodness-of-fit (mainly graphical) for multivariate Hawkes processes with possibly dependent marks. As an application, we analyze two data sets from finance.
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The estimation of frequencyVery general forms of the strong law of large numbers and the central limit theorem are proved for estimates of the unknown parameters in a sinusoidal oscillation observed subject to error. In particular when the unknown frequency θ 0 , is in fact 0 or <it is shown that the estimate, hiện toàn bộ
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Entropy-based measure of uncertainty in past lifetime distributionsAs proposed by Ebrahimi, uncertainty in the residual lifetime distribution can be measured by means of the Shannon entropy. In this paper, we analyse a dual characterization of life distributions that is based on entropy applied to the past lifetime. Various aspects of this measure of uncertainty are considered, including its connection with the residual entropy, the relation between its i... ... hiện toàn bộ
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Large deviations of heavy-tailed random sums with applications in insurance and financeWe prove large deviation results for the random sum F , independent of hiện toàn bộ
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Evolutionarily stable strategies with two types of playerA definition of ESS (evolutionarily stable strategy) is suggested for games in which there are two types of player, each with its own set of strategies, and the fitness of any strategy depends upon the strategy mix, of both types, in the population as a whole. We check that the standard ESS results hold for this definition and discuss a mate-desertion model which has appeared in the litera... ... hiện toàn bộ
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Scheduling tasks with exponential service times on non-identical processors to minimize various cost functionsWe consider preemptive scheduling of N tasks on m processors; processors have different speeds, tasks require amounts of work which are exponentially distributed, with different parameters. The policies of assigning at every moment the task with shortest (longest) expected processing time among those not yet completed to the fastest processor available, second sh... ... hiện toàn bộ
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Approximations in finite-capacity multi-server queues by Poisson arrivalsAn approximation for the average delay in queue of an entering customer is presented for the M /G /K queuing model with finite capacity. The approximation is obtained by means of an approximation relating a joint distribution of remaining service time to the equilibrium service distribution.
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New partial ordering of survival functions based on the notion of uncertaintyA new partial ordering among life distributions in terms of their uncertainties is introduced. Our measure of uncertainty is Shannon information applied to the residual lifetime. The relationship between this ordering and various existing orderings of life distributions are discussed. Various properties of our proposed concept are examined. Based on our proposed ordering and various existi... ... hiện toàn bộ
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The Hurst effect under trendsNecessary and sufficient conditions for the so-called Hurst effect are given in the case of a weakly dependent stationary sequence of random variables perturbed by a trend. As a consequence of this general result it is shown that the Hurst effect is present in the case of weakly dependent random variables with a small monotonic trend of the formf (n... hiện toàn bộ
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