Methodology and Computing in Applied Probability

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Editorial
Methodology and Computing in Applied Probability - Tập 17 - Trang 843-845 - 2015
Christos H. Skiadas, Mariano Valderrama, Vladimir Zaiats
Probabilistic Modelling of Monitoring and Maintenance of Multistate Monotone Systems with Dependent Components
Methodology and Computing in Applied Probability - Tập 7 - Trang 63-78 - 2005
Jørund Gåsemyr, Bent Natvig
In Gåsemyr and Natvig (2001) partial monitoring of components with applications to preventive system maintenance was considered for a binary monotone system of binary components. The purpose of the present paper is to extend this to a multistate monotone system of multistate components, where the states more realistically represent successive levels of performance ranging from the perfect function...... hiện toàn bộ
Approximations and Inequalities for Moving Sums
Methodology and Computing in Applied Probability - Tập 14 - Trang 597-616 - 2011
Joseph Glaz, Joseph Naus, Xiao Wang
In this article accurate approximations and inequalities are derived for the distribution, expected stopping time and variance of the stopping time associated with moving sums of independent and identically distributed continuous random variables. Numerical results for a scan statistic based on a sequence of moving sums are presented for a normal distribution model, for both known and unknown mean...... hiện toàn bộ
A New Method for Estimating the Distribution of Scan Statistics for a Two-Dimensional Poisson Process
Methodology and Computing in Applied Probability - Tập 4 - Trang 393-407 - 2002
G. Haiman, C. Preda
A method for estimating the distribution of scan statistics with high precisìon was introduced in Haiman (2000). Using that method sharp bounds for the errors were also established. This paper is concerned with the application of the method in Haiman (2000) to a two-dimensional Poisson process. The method involves the estimation by simulation of the conditional (fixed number of points) distributio...... hiện toàn bộ
Interpretation of the Evolution of the Homogeneous Markov System (or, equivalently, of the Embedded Markov Chain) as the Deformation of a Viscoelastic Medium. The 3-D Case
Methodology and Computing in Applied Probability - Tập 19 - Trang 1227-1239 - 2017
K. Loumponias, G. Tsaklidis
Every attainable structure of a continuous time homogeneous Markov chain (HMC) with n states, or of a closed Markov system with an embedded HMC with n states, or more generally of a Markov system driven by an HMC, is considered as a point-particle of ℜ n . Then, the motion of the attainable structure corresponds to the motion of the respective point-particle in ℜ ...... hiện toàn bộ
On Accelerating Monte Carlo Integration Using Orthogonal Projections
Methodology and Computing in Applied Probability - Tập 24 Số 2 - Trang 1143-1168 - 2022
Huei-Wen Teng, Mingyu Kang
On the Distributions of the State Sizes of Discrete Time Homogeneous Markov Systems
Methodology and Computing in Applied Probability - Tập 10 - Trang 55-71 - 2007
G. Vasiliadis, G. Tsaklidis
The evolution of a closed discrete-time homogeneous Markov system (HMS) is determined by the evolution of its state sizes in time. In order to examine the variability of the state sizes, their moments are evaluated for any time point, and recursive formulae for their computation are derived. As a consequence the asymptotic values of the moments for a convergent HMS can be evaluated. The respective...... hiện toàn bộ
Optimal Reinsurance via Dirac-Feynman Approach
Methodology and Computing in Applied Probability - - 2019
Muhsin Tamturk, Sergey Utev
On Dynamic Generalized Linear Models with Applications
Methodology and Computing in Applied Probability - Tập 15 - Trang 407-421 - 2011
Sourish Das, Dipak K. Dey
In this paper we combine the idea of ‘power steady model’, ‘discount factor’ and ‘power prior’, for a general class of filter model, more specifically within a class of dynamic generalized linear models (DGLM). We show an optimality property for our proposed method and present the particle filter algorithm for DGLM as an alternative to Markov chain Monte Carlo method. We also present two applicati...... hiện toàn bộ
Về các Thước đo Rủi ro Hiệu quả Được Tạo ra từ Các Thước đo Rủi ro Lồi Dịch bởi AI
Methodology and Computing in Applied Probability - Tập 20 - Trang 673-698 - 2017
Zhiping Chen, Qianhui Hu
Chúng tôi nghiên cứu mối quan hệ chặt chẽ giữa các thước đo rủi ro hiệu quả và các thước đo rủi ro lồi. Lấy cảm hứng từ các kết quả thu được, chúng tôi đề xuất một lớp các thước đo rủi ro hiệu quả được dẫn xuất từ các thước đo rủi ro lồi. Vấn đề đại diện và tối thiểu hóa vững chắc của thước đo rủi ro hiệu quả được dẫn xuất được điều tra. Một thước đo rủi ro hiệu quả mới, Giá trị Rủi ro Điều kiện E...... hiện toàn bộ
#thước đo rủi ro hiệu quả #thước đo rủi ro lồi #ECVaR #lựa chọn danh mục đầu tư #giá trị rủi ro điều kiện entropic
Tổng số: 843   
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