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

The First-Passage Area of Wiener Process withStochastic Resetting 随机重置的Wiener过程的第一通道区

IF 0.9 4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-29 DOI: 10.1007/s11009-023-10069-4

Mario Abundo

引用次数: 0

Random Apportionment: A Stochastic Solution to the Balinski-Young Impossibility 随机分配:巴林斯基-杨不可能性的随机解

IF 0.9 4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-23 DOI: 10.1007/s11009-023-10070-x

Jyy-I Hong, Joseph Najnudel, Siang-Mao Rao, Ju-Yi Yen

引用次数: 0

Distribution of Patterns of Constrained Length in Binary Sequences 二值序列中约束长度模式的分布

IF 0.9 4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-21 DOI: 10.1007/s11009-023-10068-5

Frosso S. Makri, Zaharias M. Psillakis

引用次数: 0

Equilibrium Queueing Strategies in M/G/1 Queues with the Reference Time Effect 参考时间效应下M/G/1队列的均衡排队策略

IF 0.9 4区数学

Methodology and Computing in Applied Probability Pub Date : 2023-11-20 DOI: 10.1007/s11009-023-10062-x

Tao Jiang, Li Gao, Xudong Chai

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引用次数: 0

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

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

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":null,"pages":null},"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