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Methodology and Computing in Applied Probability最新文献

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Asymptotics of Sum of Heavy-tailed Risks with Copulas 具有Copulas的重尾风险和的渐近性
4区 数学
Methodology and Computing in Applied Probability Pub Date : 2023-11-13 DOI: 10.1007/s11009-023-10066-7
Fan Yang, Yi Zhang
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引用次数: 0
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
{"title":"Bivariate Semi-Parametric Model: Bayesian Inference","authors":"Debashis Samanta, Debasis Kundu","doi":"10.1007/s11009-023-10061-y","DOIUrl":"https://doi.org/10.1007/s11009-023-10061-y","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"46 24","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136347908","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
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
{"title":"Ruin Problems for Risk Processes with Dependent Phase-Type Claims","authors":"Oscar Peralta, Matthieu Simon","doi":"10.1007/s11009-023-10065-8","DOIUrl":"https://doi.org/10.1007/s11009-023-10065-8","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"40 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135431078","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
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
{"title":"A Semi-Markov Model with Geometric Renewal Processes","authors":"Jingqi Zhang, Mitra Fouladirad, Nikolaos Limnios","doi":"10.1007/s11009-023-10060-z","DOIUrl":"https://doi.org/10.1007/s11009-023-10060-z","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"37 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135774380","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
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
{"title":"Three Distributions in the Extended Occupancy Problem","authors":"Ben O’Neill","doi":"10.1007/s11009-023-10053-y","DOIUrl":"https://doi.org/10.1007/s11009-023-10053-y","url":null,"abstract":"Abstract The classical and extended occupancy distributions are useful for examining the number of occupied bins in problems involving random allocation of balls to bins. We examine the extended occupancy problem by framing it as a Markov chain and deriving the spectral decomposition of the transition probability matrix. We look at three distributions of interest that arise from the problem, all involving the noncentral Stirling numbers of the second kind. These distributions give a useful generalisation to the binomial and negative-binomial distributions. We examine how these distributions relate to one another, and we derive recursive properties and mixture properties that characterise the distributions.","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136102436","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: 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
{"title":"Continuous-Time Stochastic Analysis of Rumor Spreading with Multiple Operations","authors":"François Castella, Bruno Sericola, Emmanuelle Anceaume, Yves Mocquard","doi":"10.1007/s11009-023-10058-7","DOIUrl":"https://doi.org/10.1007/s11009-023-10058-7","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135366355","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: 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
{"title":"Binomial Approximation to Locally Dependent Collateralized Debt Obligations","authors":"Amit N. Kumar, P. Vellaisamy","doi":"10.1007/s11009-023-10057-8","DOIUrl":"https://doi.org/10.1007/s11009-023-10057-8","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136033235","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: 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
{"title":"Simulation Analysis of a Base Station Using Finite Buffer M/G/1 Queueing System with Variant Sleeps","authors":"V. Deepa, M. Haridass","doi":"10.1007/s11009-023-10052-z","DOIUrl":"https://doi.org/10.1007/s11009-023-10052-z","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135893084","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
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
{"title":"Strategic Behavior and Optimization of an M/M/1 Queuewith N-Policy and Hysteretic Control","authors":"Lingjiao Zhang, Jinting Wang, Yilin Wang","doi":"10.1007/s11009-023-10054-x","DOIUrl":"https://doi.org/10.1007/s11009-023-10054-x","url":null,"abstract":"","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135834488","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
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