Statistics & Probability Letters最新文献

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Generalized wordlength enumerator for asymmetrical designs 非对称设计的通用字长枚举器
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-10-10 DOI: 10.1016/j.spl.2024.110281
Kang Wang , Na Zou , Hong Qin
{"title":"Generalized wordlength enumerator for asymmetrical designs","authors":"Kang Wang ,&nbsp;Na Zou ,&nbsp;Hong Qin","doi":"10.1016/j.spl.2024.110281","DOIUrl":"10.1016/j.spl.2024.110281","url":null,"abstract":"<div><div>In this paper, we extend the study of wordlength enumerator to asymmetrical designs, and unify the generalized <span><math><mi>α</mi></math></span>- and <span><math><mi>β</mi></math></span>-wordlength pattern with generalized wordlength enumerator. The generalized wordlength enumerator is easy and fast to compute, and can effectively compare and rank symmetrical and asymmetrical designs. A lower bound of generalized wordlength enumerator is provided, and can be used as a benchmark for searching and constructing optimal designs. Numerical results are also provided, which lend further support to our theoretical findings.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593992","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
An equilibrium model of reinsurance pricing 再保险定价的均衡模型
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-10-01 DOI: 10.1016/j.spl.2024.110280
Jiang Cheng , Chao Deng , Shuyan Liu , Xudong Zeng
{"title":"An equilibrium model of reinsurance pricing","authors":"Jiang Cheng ,&nbsp;Chao Deng ,&nbsp;Shuyan Liu ,&nbsp;Xudong Zeng","doi":"10.1016/j.spl.2024.110280","DOIUrl":"10.1016/j.spl.2024.110280","url":null,"abstract":"<div><div>Reinsurance is the insurance of insurance companies. We develop a dynamic equilibrium model for reinsurance pricing based on the supply and demand of reinsurance. In the model, an insurance company and a reinsurance company make decisions on the optimal reinsurance policy as a demander and a supplier of reinsurance, respectively. The reinsurance price is determined when the demand matches the supply. We incorporate the proportional reinsurance policy as well as investment opportunities into the framework. The high flexibility of this equilibrium pricing model paves a new way for studies of optimal reinsurance and reinsurance pricing.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142417135","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
Stationary distribution of a stochastic generalized SIRI epidemic model with reinfection and relapse 具有再感染和复发的随机广义 SIRI 流行模型的静态分布
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-27 DOI: 10.1016/j.spl.2024.110279
Kai Wang , Hongjie Fan , Yanling Zhu
{"title":"Stationary distribution of a stochastic generalized SIRI epidemic model with reinfection and relapse","authors":"Kai Wang ,&nbsp;Hongjie Fan ,&nbsp;Yanling Zhu","doi":"10.1016/j.spl.2024.110279","DOIUrl":"10.1016/j.spl.2024.110279","url":null,"abstract":"<div><div>In this paper, we propose and investigate the stochastic SIRI epidemic model with two generalized incidence rate functions. We firstly study the existence and uniqueness of the globally positive solution to the stochastic SIRI model with positive initial value. Then we obtain sufficient conditions for the extinction of the disease in the stochastic epidemic model, and find that the large noise can make the disease die out exponentially. Meanwhile, we obtain that the solution to the stochastic model has a unique stationary distribution when <span><math><mover><mrow><msubsup><mrow><mi>R</mi></mrow><mrow><mn>0</mn></mrow><mrow><mi>s</mi></mrow></msubsup></mrow><mrow><mo>˜</mo></mrow></mover></math></span> is greater than one. Our results show that the intensity of white noise can affect the dynamical behaviors of the model. Finally, we use numerical simulation to illustrate theoretical results, and apply both the stochastic and deterministic models to analyze the outbreak of COVID-19 epidemic in Serbia.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142417136","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
Mean square error and variance estimation of the sample ratio under Lahiri ’s design 拉希里设计下样本比例的均方误差和方差估计
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-24 DOI: 10.1016/j.spl.2024.110277
Hiroshi Saigo
{"title":"Mean square error and variance estimation of the sample ratio under Lahiri ’s design","authors":"Hiroshi Saigo","doi":"10.1016/j.spl.2024.110277","DOIUrl":"10.1016/j.spl.2024.110277","url":null,"abstract":"<div><div>The mean square error of the sample ratio under Lahiri’s design is derived and is compared with that under simple random sampling without replacement. New variance estimators of the sample ratio under the design are proposed. A simulation study is conducted to confirm the main results.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142322756","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
Universally consistent K-sample tests via dependence measures 通过依赖性测量进行普遍一致的 K 样本测试
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-19 DOI: 10.1016/j.spl.2024.110278
Sambit Panda , Cencheng Shen , Ronan Perry , Jelle Zorn , Antoine Lutz , Carey E. Priebe , Joshua T. Vogelstein
{"title":"Universally consistent K-sample tests via dependence measures","authors":"Sambit Panda ,&nbsp;Cencheng Shen ,&nbsp;Ronan Perry ,&nbsp;Jelle Zorn ,&nbsp;Antoine Lutz ,&nbsp;Carey E. Priebe ,&nbsp;Joshua T. Vogelstein","doi":"10.1016/j.spl.2024.110278","DOIUrl":"10.1016/j.spl.2024.110278","url":null,"abstract":"<div><div>The K-sample testing problem involves determining whether K groups of data points are each drawn from the same distribution. Analysis of variance is arguably the most classical method to test mean differences, along with several recent methods to test distributional differences. In this paper, we demonstrate the existence of a transformation that allows K-sample testing to be carried out using any dependence measure. Consequently, universally consistent K-sample testing can be achieved using a universally consistent dependence measure, such as distance correlation and the Hilbert–Schmidt independence criterion. This enables a wide range of dependence measures to be easily applied to K-sample testing.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167715224002475/pdfft?md5=8319efb92609b489dc9c39c93ef72fa6&pid=1-s2.0-S0167715224002475-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142314508","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
General mean-field reflected backward stochastic differential equations with locally monotone coefficients 具有局部单调系数的一般均场反射后向随机微分方程
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-19 DOI: 10.1016/j.spl.2024.110273
Zongkui Fu , Dandan Fei
{"title":"General mean-field reflected backward stochastic differential equations with locally monotone coefficients","authors":"Zongkui Fu ,&nbsp;Dandan Fei","doi":"10.1016/j.spl.2024.110273","DOIUrl":"10.1016/j.spl.2024.110273","url":null,"abstract":"<div><p>In this paper, we study general mean-field reflected backward stochastic differential equations with locally monotone coefficients. With the help of choosing the suitable approximation sequence, we obtain the existence and uniqueness of solution to general mean-field reflected backward stochastic differential equations.</p></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167715224002426/pdfft?md5=e746dc640796f25d5bc5e9e81624e7ec&pid=1-s2.0-S0167715224002426-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142273970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Extension of a strong form of the three-dimensional Gaussian product inequality 三维高斯积不等式强形式的扩展
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-16 DOI: 10.1016/j.spl.2024.110276
Bara Kim , Jeongsim Kim
{"title":"Extension of a strong form of the three-dimensional Gaussian product inequality","authors":"Bara Kim ,&nbsp;Jeongsim Kim","doi":"10.1016/j.spl.2024.110276","DOIUrl":"10.1016/j.spl.2024.110276","url":null,"abstract":"<div><p>We generalize a strong form of the three-dimensional Gaussian product inequality studied by Herry et al. (2024), who resolved the case of any triple of even positive integers. We extend the result to any triple consisting of a pair of positive real numbers and an even positive integer. Our result includes all existing results on the three-dimensional Gaussian product inequality conjecture.</p></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167715224002451/pdfft?md5=a8b31cd83eb2c899f4b3fa8fa028abdc&pid=1-s2.0-S0167715224002451-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142273971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Stein characterisation of the distribution of the product of correlated normal random variables 相关正态随机变量乘积分布的斯坦式表征
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-16 DOI: 10.1016/j.spl.2024.110269
Robert E. Gaunt, Siqi Li, Heather L. Sutcliffe
{"title":"A Stein characterisation of the distribution of the product of correlated normal random variables","authors":"Robert E. Gaunt,&nbsp;Siqi Li,&nbsp;Heather L. Sutcliffe","doi":"10.1016/j.spl.2024.110269","DOIUrl":"10.1016/j.spl.2024.110269","url":null,"abstract":"<div><p>We obtain a Stein characterisation of the distribution of the product of two correlated normal random variables with non-zero means, and more generally the distribution of the sum of independent copies of such random variables. Our Stein characterisation is shown to naturally generalise a number of other Stein characterisations in the literature. From our Stein characterisation we derive recursive formulas for the moments of the product of two correlated normal random variables, and more generally the sum of independent copies of such random variables, which allows for efficient computation of higher order moments.</p></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167715224002384/pdfft?md5=df7c086d07ad8089c037d05fa561ad0c&pid=1-s2.0-S0167715224002384-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239584","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Continuity of Gaussian extreme distributions 高斯极值分布的连续性
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-13 DOI: 10.1016/j.spl.2024.110274
Lijian Yang
{"title":"Continuity of Gaussian extreme distributions","authors":"Lijian Yang","doi":"10.1016/j.spl.2024.110274","DOIUrl":"10.1016/j.spl.2024.110274","url":null,"abstract":"<div><p>Distribution continuity is established for extremes of Gaussian processes with bounded sample paths and positive variance or continuous sample paths over compact domain, and for multiparameter Brownian sheets. These results provide probabilistic support for global inference on unknown functions.</p></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167715224002438/pdfft?md5=18580bb383254019118c8d7a0a3b75e0&pid=1-s2.0-S0167715224002438-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multivariate Hawkes process allowing for common shocks 允许共同冲击的多变量霍克斯过程
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2024-09-13 DOI: 10.1016/j.spl.2024.110270
Zhehao Zhang, Ruina Xing
{"title":"Multivariate Hawkes process allowing for common shocks","authors":"Zhehao Zhang,&nbsp;Ruina Xing","doi":"10.1016/j.spl.2024.110270","DOIUrl":"10.1016/j.spl.2024.110270","url":null,"abstract":"<div><p>Although the Hawkes process has been widely applied, their probability properties are difficult to obtain, depending on the model structure. This paper proposes a multivariate Hawkes process, which allows for common jumps from each marginal processes. The probability of this common jump is determined by another independent process, which represents the arrival intensity of external shocks to the system. The infinitesimal generator of the new multivariate jump process is derived. Based on that, moments and the Laplace transform are studied, which further demonstrate the advantages of this model structure.</p></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167715224002396/pdfft?md5=af28dce83dfba4528a5b455d15773fb3&pid=1-s2.0-S0167715224002396-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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