Methodology and Computing in Applied Probability

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A Differential Equation for a Class of Discrete Lifetime Distributions with an Application in Reliability
Methodology and Computing in Applied Probability - Tập 17 - Trang 647-660 - 2013
Attila Csenki
It is shown that the probability generating function of a lifetime random variable T on a finite lattice with polynomial failure rate satisfies a certain differential equation. The interrelationship with Markov chain theory is highlighted. The differential equation gives rise to a system of differential equations which, when inverted, can be used in the limit to express the polynomial coefficients...... hiện toàn bộ
Editorial
Methodology and Computing in Applied Probability - Tập 17 - Trang 843-845 - 2015
Christos H. Skiadas, Mariano Valderrama, Vladimir Zaiats
Selecting the Best Population Using a Test for Equality Based on Minimal Wilcoxon Rank-sum Precedence Statistic
Methodology and Computing in Applied Probability - Tập 9 - Trang 263-305 - 2007
Hon Keung Tony Ng, N. Balakrishnan, S. Panchapakesan
In this paper, we first give an overview of the precedence-type test procedures. Then we propose a nonparametric test based on early failures for the equality of two life-time distributions against two alternatives concerning the best population. This procedure utilizes the minimal Wilcoxon rank-sum precedence statistic (Ng and Balakrishnan, 2002, 2004) which can determine the difference between p...... hiện toàn bộ
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
On Estimating the Asymptotic Variance of Stationary Point Processes
Methodology and Computing in Applied Probability - Tập 12 Số 3 - Trang 451-471 - 2010
Heinrich, Lothar, Prokešová, Michaela
We investigate a class of kernel estimators $\widehat{\sigma}^2_n$ of the asymptotic variance σ 2 of a d-dimensional stationary point process $\Psi = \sum_{i\ge 1}\delta_{X_i}$ which can be observed in a cubic sampling window $W_n = [-n,n]^d\,$ . σ 2 is defined by the asymptotic relation $Var(\Psi(W_n)) \sim \sigma^2 \,(2n)^d$ (as n →  ∞) and its existence is guaranteed whenever the corresponding ...... hiện toàn bộ
Asymptotic Multivariate Dominance: A Financial Application
Methodology and Computing in Applied Probability - Tập 18 - Trang 1097-1115 - 2016
Sergio Ortobelli Lozza, Tommaso Lando, Filomena Petronio, Tomáš Tichý
We propose a multivariate stochastic dominance relation aimed at ranking different financial markets/sectors from the point of view of a non-satiable risk averse investor. In particular, we assume that the vector of returns of a given market is in the domain of attraction of a symmetric stable Paretian law in order to take into account the asymptotic behaviour of the financial returns. We determin...... hiện toàn bộ
Bivariate Bernoulli Weighted Sums and Distribution of Single-Period Tontine Benefits
Methodology and Computing in Applied Probability - Tập 20 - Trang 1403-1416 - 2018
Michel Denuit, Raluca Vernic
This paper studies the distribution of particular weighted sums of Bernoulli random variables. The computing methods are applied to derive the probability distribution of the random amount of survivor credits to be shared among surviving participants in single-period tontine schemes. The effectiveness of this new arrangement can then be evaluated beyond the classical analysis based on crude approx...... 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
Rare Event Probability Estimation in the Presence of Epistemic Uncertainty on Input Probability Distribution Parameters
Methodology and Computing in Applied Probability - Tập 18 - Trang 197-216 - 2014
Mathieu Balesdent, Jérôme Morio, Loïc Brevault
The accurate estimation of rare event probabilities is a crucial problem in engineering to characterize the reliability of complex systems. Several methods such as Importance Sampling or Importance Splitting have been proposed to perform the estimation of such events more accurately (i.e., with a lower variance) than crude Monte Carlo method. However, these methods assume that the probability dist...... hiện toàn bộ
On the Number of i.i.d. Samples Required to Observe All of the Balls in an Urn
Methodology and Computing in Applied Probability - Tập 12 - Trang 139-154 - 2008
Brad C. Johnson, Thomas M. Sellke
Suppose an urn contains m distinct balls, numbered 1,...,m, and let τ denote the number of i.i.d. samples required to observe all of the balls in the urn. We generalize the partial fraction expansion type arguments used by Pólya (Z Angew Math Mech 10:96–97, 1930) for approximating $\mathbb{E}(\tau)$ in t...... hiện toàn bộ
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