Probability in the Engineering and Informational Sciences最新文献

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Disparity-persistence and the multistep friendship paradox 差距-坚持和多步骤友谊悖论
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-07-25 DOI: 10.1017/s026996482300013x
K. Berenhaut, Chi M. Zhang
{"title":"Disparity-persistence and the multistep friendship paradox","authors":"K. Berenhaut, Chi M. Zhang","doi":"10.1017/s026996482300013x","DOIUrl":"https://doi.org/10.1017/s026996482300013x","url":null,"abstract":"In this paper, we consider the friendship paradox in the context of random walks and paths. Among our results, we give an equality connecting long-range degree correlation, degree variability, and the degree-wise effect of additional steps for a random walk on a graph. Random paths are also considered, as well as applications to acquaintance sampling in the context of core-periphery structure.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"34 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81043094","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotic behaviors of aggregated Markov processes 聚合马尔可夫过程的渐近行为
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-07-25 DOI: 10.1017/s0269964823000153
L. Cui, He Yi, Weixin Jiang
{"title":"Asymptotic behaviors of aggregated Markov processes","authors":"L. Cui, He Yi, Weixin Jiang","doi":"10.1017/s0269964823000153","DOIUrl":"https://doi.org/10.1017/s0269964823000153","url":null,"abstract":"\u0000 Finite state Markov processes and their aggregated Markov processes have been extensively studied, especially in ion channel modeling and reliability modeling. In reliability field, the asymptotic behaviors of repairable systems modeled by both processes have been paid much attention to. For a Markov process, it is well-known that limiting measures such as availability and transition probability do not depend on the initial state of the process. However, for an aggregated Markov process, it is difficult to directly know whether this conclusion holds true or not from the limiting measure formulas expressed by the Laplace transforms. In this paper, four limiting measures expressed by Laplace transforms are proved to be independent of the initial state through Tauber’s theorem. The proof is presented under the assumption that the rank of transition rate matrix is one less than the dimension of state space for the Markov process, which includes the case that all states communicate with each other. Some numerical examples and discussions based on these are presented to illustrate the results directly and to show future related research topics. Finally, the conclusion of the paper is given.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"49 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74657719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Percolation in simple directed random graphs with a given degree distribution 具有给定度分布的简单有向随机图中的渗流
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-05-05 DOI: 10.1017/s0269964823000128
Femke van Ieperen, I. Kryven
{"title":"Percolation in simple directed random graphs with a given degree distribution","authors":"Femke van Ieperen, I. Kryven","doi":"10.1017/s0269964823000128","DOIUrl":"https://doi.org/10.1017/s0269964823000128","url":null,"abstract":"\u0000 We study site and bond percolation in simple directed random graphs with a given degree distribution. We derive the percolation threshold for the giant strongly connected component and the fraction of vertices in this component as a function of the percolation probability. The results are obtained for degree sequences in which the maximum degree may depend on the total number of nodes n, being asymptotically bounded by \u0000 \u0000 \u0000 $n^{frac{1}{9}}$\u0000 \u0000 .","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"2 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88787177","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stochastic comparisons of largest claim and aggregate claim amounts 最大索赔和总索赔金额的随机比较
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-04-04 DOI: 10.1017/s0269964823000104
Arindam Panja, Pradip Kundu, Nil Kamal Hazra, B. Pradhan
{"title":"Stochastic comparisons of largest claim and aggregate claim amounts","authors":"Arindam Panja, Pradip Kundu, Nil Kamal Hazra, B. Pradhan","doi":"10.1017/s0269964823000104","DOIUrl":"https://doi.org/10.1017/s0269964823000104","url":null,"abstract":"\u0000 In this paper, we establish some stochastic comparison results for largest claim amounts of two sets of independent and also for interdependent portfolios under the setup of the proportional odds model. We also establish stochastic comparison results for aggregate claim amounts of two sets of independent portfolios. Further, stochastic comparisons for largest claim amounts from two sets of independent multiple-outlier claims have also been studied. The results we obtained apply to the whole family of extended distributions, also known as the Marshall–Olkin family of distributions. We have given many numerical examples to illustrate the results obtained.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"104 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79531264","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A new measure of inaccuracy for record statistics based on extropy 基于外倾性的记录统计不准确性的新度量
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-03-10 DOI: 10.1017/s0269964823000086
M. Hashempour, M. Mohammadi
{"title":"A new measure of inaccuracy for record statistics based on extropy","authors":"M. Hashempour, M. Mohammadi","doi":"10.1017/s0269964823000086","DOIUrl":"https://doi.org/10.1017/s0269964823000086","url":null,"abstract":"\u0000 We introduce a new measure of inaccuracy based on extropy between distributions of the nth upper (lower) record value and parent random variable and discuss some properties of it. A characterization problem for the proposed extropy inaccuracy measure has been studied. It is also shown that the defined measure of inaccuracy is invariant under scale but not under location transformation. We characterize certain specific lifetime distribution functions. Nonparametric estimators based on the empirical and kernel methods for the proposed measures are also obtained. The performance of estimators is also discussed using a real dataset.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"26 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73440617","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On hybrid tree-based methods for short-term insurance claims 基于混合树的短期保险理赔方法研究
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-03-08 DOI: 10.1017/S0269964823000074
Zhiyu Quan, Zhiguo Wang, Guojun Gan, Emiliano A. Valdez
{"title":"On hybrid tree-based methods for short-term insurance claims","authors":"Zhiyu Quan, Zhiguo Wang, Guojun Gan, Emiliano A. Valdez","doi":"10.1017/S0269964823000074","DOIUrl":"https://doi.org/10.1017/S0269964823000074","url":null,"abstract":"Abstract Two-part framework and the Tweedie generalized linear model (GLM) have traditionally been used to model loss costs for short-term insurance contracts. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to imbalances, resulting in lower prediction accuracy of these traditional approaches. In this article, we propose the use of tree-based methods with a hybrid structure that involves a two-step algorithm as an alternative approach. For example, the first step is the construction of a classification tree to build the probability model for claim frequency. The second step is the application of elastic net regression models at each terminal node from the classification tree to build the distribution models for claim severity. This hybrid structure captures the benefits of tuning hyperparameters at each step of the algorithm; this allows for improved prediction accuracy, and tuning can be performed to meet specific business objectives. An obvious major advantage of this hybrid structure is improved model interpretability. We examine and compare the predictive performance of this hybrid structure relative to the traditional Tweedie GLM using both simulated and real datasets. Our empirical results show that these hybrid tree-based methods produce more accurate and informative predictions.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"24 1","pages":"597 - 620"},"PeriodicalIF":1.1,"publicationDate":"2023-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75143201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A new lifetime distribution by maximizing entropy: properties and applications 熵最大化的新生命周期分布:属性和应用
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-02-28 DOI: 10.1017/s0269964823000062
Ali Khosravi Tanak, Marziyeh Najafi, G. M. Mohtashami Borzadaran
{"title":"A new lifetime distribution by maximizing entropy: properties and applications","authors":"Ali Khosravi Tanak, Marziyeh Najafi, G. M. Mohtashami Borzadaran","doi":"10.1017/s0269964823000062","DOIUrl":"https://doi.org/10.1017/s0269964823000062","url":null,"abstract":"\u0000 The principle of maximum entropy is a well-known approach to produce a model for data-generating distributions. In this approach, if partial knowledge about the distribution is available in terms of a set of information constraints, then the model that maximizes entropy under these constraints is used for the inference. In this paper, we propose a new three-parameter lifetime distribution using the maximum entropy principle under the constraints on the mean and a general index. We then present some statistical properties of the new distribution, including hazard rate function, quantile function, moments, characterization, and stochastic ordering. We use the maximum likelihood estimation technique to estimate the model parameters. A Monte Carlo study is carried out to evaluate the performance of the estimation method. In order to illustrate the usefulness of the proposed model, we fit the model to three real data sets and compare its relative performance with respect to the beta generalized Weibull family.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"106 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76680580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility 具有多尺度随机波动的均值回归现货价格模型下期货价差期权定价的封闭逼近
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-02-20 DOI: 10.1017/s0269964823000049
Seung-Yong Baek, Jeong‐Hoon Kim
{"title":"A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility","authors":"Seung-Yong Baek, Jeong‐Hoon Kim","doi":"10.1017/s0269964823000049","DOIUrl":"https://doi.org/10.1017/s0269964823000049","url":null,"abstract":"\u0000 Commodity spot prices tend to revert to some long-term mean level and most commodity derivatives are based on futures prices, not on spot prices. So, we consider spread options on futures instead of spot or spot index, where the log spot price follows a mean-reverting process. The volatility of the mean-reverting process is driven by two different (fast and slow) scale factors. We use asymptotic analysis to obtain a closed-form approximation of the futures prices and a closed-form formula for the approximate prices of spread options on the futures. The overall improvement of our analytic formula over the classical Kirk–Bjerksund–Sternsland (KBS) formula is discussed via numerical experiments.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"30 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81615925","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A simple European option pricing formula with a skew Brownian motion – ERRATUM 一个具有倾斜布朗运动的简单欧式期权定价公式-勘误
3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-02-16 DOI: 10.1017/s0269964823000050
Puneet Pasricha, Xin-Jiang He
{"title":"A simple European option pricing formula with a skew Brownian motion – ERRATUM","authors":"Puneet Pasricha, Xin-Jiang He","doi":"10.1017/s0269964823000050","DOIUrl":"https://doi.org/10.1017/s0269964823000050","url":null,"abstract":"An abstract is not available for this content. As you have access to this content, full HTML content is provided on this page. A PDF of this content is also available in through the ‘Save PDF’ action button.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135534040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Method-of-moments estimators of a scale parameter based on samples from a coherent system 基于相干系统样本的尺度参数矩量估计方法
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-02-16 DOI: 10.1017/s0269964823000037
C. Macci, J. Navarro
{"title":"Method-of-moments estimators of a scale parameter based on samples from a coherent system","authors":"C. Macci, J. Navarro","doi":"10.1017/s0269964823000037","DOIUrl":"https://doi.org/10.1017/s0269964823000037","url":null,"abstract":"In this paper, we study the estimation of a scale parameter from a sample of lifetimes of coherent systems with a fixed structure. We assume that the components are independent and identically distributed having a common distribution which belongs to a scale parameter family. Some results are obtained as well for dependent (exchangeable) components. To this end, we will use the representations for the distribution function of a coherent system based on signatures. We prove that the efficiency of the estimators depends on the structure of the system and on the scale parameter family. In the dependence case, it also depends on the baseline copula function.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":"88 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79708152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","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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