Methodology and Computing in Applied Probability最新文献_第5页

Bivariate Semi-Parametric Model: Bayesian Inference 二元半参数模型:贝叶斯推理

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-13 DOI: 10.1007/s11009-023-10061-y

Debashis Samanta, Debasis Kundu

引用次数: 0

Ruin Problems for Risk Processes with Dependent Phase-Type Claims 具有相依阶段型索赔的风险过程破产问题

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-07 DOI: 10.1007/s11009-023-10065-8

Oscar Peralta, Matthieu Simon

引用次数: 0

A Semi-Markov Model with Geometric Renewal Processes 具有几何更新过程的半马尔可夫模型

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-04 DOI: 10.1007/s11009-023-10060-z

Jingqi Zhang, Mitra Fouladirad, Nikolaos Limnios

引用次数: 0

Three Distributions in the Extended Occupancy Problem 延长占用问题中的三种分布

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-10-30 DOI: 10.1007/s11009-023-10053-y

Ben O’Neill

引用次数: 2

Flexible Bayesian Inference for Diffusion Processesusing Splines 基于样条的扩散过程柔性贝叶斯推理

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-10-27 DOI: 10.1007/s11009-023-10056-9

Paul A. Jenkins, Murray Pollock, Gareth O. Roberts

{"title":"Flexible Bayesian Inference for Diffusion Processesusing Splines","authors":"Paul A. Jenkins, Murray Pollock, Gareth O. Roberts","doi":"10.1007/s11009-023-10056-9","DOIUrl":"https://doi.org/10.1007/s11009-023-10056-9","url":null,"abstract":"Abstract We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo algorithm to infer, a posteriori, the coefficients of these functions in the spline basis. A key innovation is that we use spline bases to model transformed versions of the drift and volatility functions rather than the functions themselves. The output of the algorithm is a posterior sample of plausible drift and volatility functions that are not constrained to any particular parametric family. The flexibility of this approach provides practitioners a powerful investigative tool, allowing them to posit a variety of parametric models to better capture the underlying dynamics of their processes of interest. We illustrate the versatility of our method by applying it to challenging datasets from finance, paleoclimatology, and astrophysics. In view of the parametric diffusion models widely employed in the literature for those examples, some of our results are surprising since they call into question some aspects of these models.","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"43 8","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136262695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Continuous-Time Stochastic Analysis of Rumor Spreading with Multiple Operations 多操作下谣言传播的连续时间随机分析

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-10-23 DOI: 10.1007/s11009-023-10058-7

François Castella, Bruno Sericola, Emmanuelle Anceaume, Yves Mocquard

引用次数: 1

Binomial Approximation to Locally Dependent Collateralized Debt Obligations 局部依赖债务抵押债券的二项逼近

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-10-17 DOI: 10.1007/s11009-023-10057-8

Amit N. Kumar, P. Vellaisamy

引用次数: 1

Simulation Analysis of a Base Station Using Finite Buffer M/G/1 Queueing System with Variant Sleeps 具有可变睡眠的有限缓冲M/G/1基站排队系统仿真分析

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-10-02 DOI: 10.1007/s11009-023-10052-z

V. Deepa, M. Haridass

引用次数: 0

Strategic Behavior and Optimization of an M/M/1 Queuewith N-Policy and Hysteretic Control 具有n策略和滞后控制的M/M/1队列策略行为与优化

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-10-02 DOI: 10.1007/s11009-023-10054-x

Lingjiao Zhang, Jinting Wang, Yilin Wang

引用次数: 0

A New Separation Index and Classification Techniques Based on Shannon Entropy 一种新的基于Shannon熵的分离指标及分类技术

4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-09-22 DOI: 10.1007/s11009-023-10055-w

Jorge Navarro, Francesco Buono, Jorge M. Arevalillo

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引用次数: 0