Applied Stochastic Models in Business and Industry最新文献

{"title":"The censored delta shock model with non-identical intershock times distribution and an optimal replacement policy","authors":"Stathis Chadjiconstantinidis","doi":"10.1002/asmb.2852","DOIUrl":"10.1002/asmb.2852","url":null,"abstract":"<p>In this article, we consider the censored <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 <mo>−</mo>\u0000 <mtext>shock</mtext>\u0000 </mrow>\u0000 <annotation>$$ delta -mathrm{shock} $$</annotation>\u0000 </semantics></math> model in which the distribution of intershock times do not have the same distribution, but it is assumed that a change occurs in the distribution of the intershock times due to an environmental effect and hence this distribution changes after a random number of shocks. For this shock model, several reliability characteristics are evaluated by assuming that the random change point has a discrete phase-type distribution. Analytical results for evaluating the reliability function of the system for several continuous as well discrete distributions of the interarrival times, are also given. Also, the optimal replacement policy that is based on a control limit is proposed for a mixed censored <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 </mrow>\u0000 <annotation>$$ delta $$</annotation>\u0000 </semantics></math>-shock model in which both the distributions of the magnitudes of shocks and the distributions of the interarrival times of shocks change after a random number of shocks. Finally, several numerical examples are given to illustrate our results.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"895-925"},"PeriodicalIF":1.3,"publicationDate":"2024-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140116747","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}

{"title":"Preface to the special issue on degradation and maintenance, modelling and analysis","authors":"Laurent Doyen,&nbsp;Inma T. Castro","doi":"10.1002/asmb.2853","DOIUrl":"10.1002/asmb.2853","url":null,"abstract":"&lt;p&gt;The 13th spring meeting of the ENBIS society was held in Grenoble, France, on May 19–20 2022. ENBIS is the European Network for Business and Industrial Statistics. Its objective is to connect people and organisations throughout Europe to improve statistical methods and their applications in the field of business and industry. ENBIS organizes each year a one-week congress and a 2- or 3-days spring meeting.&lt;/p&gt;&lt;p&gt;The topic of the 13th spring meeting in Grenoble has been “Degradation and Maintenance, Modelling and Analysis”. In fact, in the field of reliability studies, the multiplication of equipment control and monitoring systems implies that degradation models become more and more prominent over lifetime models. The modelling of degradation processes, the statistical analysis of the corresponding data and their use for the predictive maintenance of industrial systems are important and challenging issues.&lt;/p&gt;&lt;p&gt;The aim of this Special Issue of ASMBI is not only to publish selected extended versions of papers presented during ENBIS 2022 spring meeting, but also to promote high-quality, innovative, and original works relevant to the application of statistical methods and probability models to the field of degradation and maintenance and more generally reliability analysis.&lt;/p&gt;&lt;p&gt;After an exhaustive peer review process, this Special Issue includes nine papers that contribute significantly to advance of the knowledge in the reliability and maintenance field. Here we introduce this collection of papers which cover both mathematical developments and practical applications.&lt;/p&gt;&lt;p&gt;Another modelling framework discussed in this special issue, is Phase type distributions. Any lifetime distribution can be approximated arbitrarily close by a phase type distribution. This fact makes this distribution very attractive as parametric model to failure time data with degradation trend. In this sense, Lindqvist&lt;span&gt;&lt;sup&gt;6&lt;/sup&gt;&lt;/span&gt; shows how phase-type distributions can be used for modelling the effect of degradation and maintenance. The paper focuses on Phase-type models used in competing risks framework who consider multiple absorbing states on their continuous time Markov chain. Instantaneous transitions are added at certain stages to model repair actions bringing failed system into working conditions. Two different approaches are proposed, and their long run properties are studied in term of measure of reliability and maintenance efficiency.&lt;/p&gt;&lt;p&gt;The guest editors of this Special Issue thank all the persons who helped to make this issue possible. They are thankful to Fabrizio Ruggeri, the Editor in Chief of ASMBI, for giving them the opportunity of editing this Special Issue and for his support and guidance during the editorial process. They are also grateful to the reviewers for their careful work and constructive revisions that contribute to improve the papers. At last, they are very grateful to the authors, and more generally to all the participants of ","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"546-548"},"PeriodicalIF":1.4,"publicationDate":"2024-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2853","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140116746","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}

{"title":"Preventive maintenance for coherent systems considering postponed replacement","authors":"Majid Asadi","doi":"10.1002/asmb.2851","DOIUrl":"10.1002/asmb.2851","url":null,"abstract":"&lt;p&gt;One primary objective of reliability engineering is to achieve optimal maintenance of technical systems, which ensures they remain in good operating condition. This paper proposes an age-based preventive optimal maintenance policy for &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;n&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ n $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;-component coherent systems. Under this proposed strategy, the system begins operating at &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;t&lt;/mi&gt;\u0000 &lt;mo&gt;=&lt;/mo&gt;\u0000 &lt;mn&gt;0&lt;/mn&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ t=0 $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt; and undergoes preventative maintenance (PM) at a time &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;msub&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;T&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;p&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/msub&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ {T}_p $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;. If the system fails before &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;msub&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;T&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;p&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/msub&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ {T}_p $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;, it will be replaced with a new one. If the system is still functioning at time &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;msub&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;T&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;p&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/msub&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ {T}_p $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;, an assessment is made based on the number of failed components to determine whether the system should be replaced or allowed to continue operating. If the number of failures at &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;msub&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;T&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;p&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/msub&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ {T}_p $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt; is below a predetermined threshold &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 &lt;mi&gt;m&lt;/mi&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;annotation&gt;$$ m $$&lt;/annotation&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;, the PM time","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"875-894"},"PeriodicalIF":1.3,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140004124","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}

{"title":"The impact of TV advertising on website traffic","authors":"Lukáš Veverka, Vladimír Holý","doi":"10.1002/asmb.2850","DOIUrl":"https://doi.org/10.1002/asmb.2850","url":null,"abstract":"We propose a modeling procedure for estimating immediate responses to TV ads and evaluating the factors influencing their size. First, we capture diurnal and seasonal patterns of website visits using the kernel smoothing method. Second, we estimate a gradual increase in website visits after an ad using the maximum likelihood method. Third, we analyze the nonlinear dependence of the estimated increase in website visits on characteristics of the ads using the random forest method. The proposed methodology is applied to a dataset containing minute-by-minute organic website visits and detailed characteristics of TV ads for an e-commerce company in 2019. The results show that people are indeed willing to switch between screens and multitask. Moreover, the time of the day, the TV channel, and the advertising motive play a great role in the impact of the ads.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"88 1","pages":""},"PeriodicalIF":1.4,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139923188","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}

{"title":"Imperfect and worse than old maintenances for a gamma degradation process","authors":"Franck Corset,&nbsp;Mitra Fouladirad,&nbsp;Christian Paroissin","doi":"10.1002/asmb.2849","DOIUrl":"10.1002/asmb.2849","url":null,"abstract":"<p>This article considers a condition-based maintenance for a system subject to deterioration. The deterioration is modeled by a non-homogeneous gamma process, more precisely the gamma process and the preventive maintenance are imperfect or worse than old. The corrective maintenance actions are as good as new. The maintenance efficiency or non-efficiency parameters as well as the deterioration parameters are considered to be unknown. The monitoring data under consideration give indirect information on the maintenance parameters. Therefore, an expected maximum algorithm is applied for parameter estimation.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"620-639"},"PeriodicalIF":1.4,"publicationDate":"2024-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2849","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139923187","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}

{"title":"Modeling flight delays by an intensity-based Hawkes process","authors":"Philip Hans Franses,&nbsp;Carlijn Smeets","doi":"10.1002/asmb.2846","DOIUrl":"10.1002/asmb.2846","url":null,"abstract":"<p>Two key features of airline departure delays are that they cascade and that there can be exceptional peaks. We model these features using an intensity-based Hawkes process. Our application to all KLM departure delays at Amsterdam Schiphol airport in January 2015 shows that volatility in departure delays is endogenous. We correlate the key parameters of the estimated Hawkes process with daily weather conditions and find that these conditions amplify the self-exciting feature of departure delays.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"863-874"},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2846","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753084","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}

{"title":"Resale regulations in online marketplaces during the COVID-19 pandemic","authors":"Yohsuke Hirose","doi":"10.1002/asmb.2847","DOIUrl":"https://doi.org/10.1002/asmb.2847","url":null,"abstract":"In the early stages of the COVID-19 pandemic, masks and alcohol sanitizers were hoarded and resold in online markets. In Japan, restrictions were imposed on such resale. This paper examines changes in the behavior of economic agents and their surplus before and after the resale restrictions in the online market. We collected data on the auctions and fixed-price sales of anhydrous ethanol before and after the resale regulation. Using these estimated parameters, we evaluated the changes in the surpluses per transaction. We found that, on average, the regulation reduced the consumer surplus and the producer surplus by about JPY 160 and JPY 1500, respectively.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"155 1","pages":""},"PeriodicalIF":1.4,"publicationDate":"2024-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139649141","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}

{"title":"New tests for trend in time censored recurrent event data","authors":"Bo Henry Lindqvist,&nbsp;Jan Terje Kvaløy","doi":"10.1002/asmb.2848","DOIUrl":"10.1002/asmb.2848","url":null,"abstract":"<p>We consider testing for trend in recurrent event data. More precisely, for such data we consider testing of the null hypothesis of data coming from a renewal process. The new tests are essentially obtained by considering appropriate integrated versions of classical trend tests. Moreover, adaptive versions of earlier considered tests versus non-monotonic alternatives, like bathtub trend, are suggested. A simulation study shows that the new tests have favorable properties and sometimes outperform classical tests. Examples with real data are also considered.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 5","pages":"1275-1290"},"PeriodicalIF":1.3,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2848","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139583605","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}

{"title":"Modeling multivariate positive-valued time series using R-INLA","authors":"Chiranjit Dutta,&nbsp;Nalini Ravishanker,&nbsp;Sumanta Basu","doi":"10.1002/asmb.2834","DOIUrl":"https://doi.org/10.1002/asmb.2834","url":null,"abstract":"<p>In this article, we describe fast Bayesian statistical analysis of vector positive-valued time series, with application to interesting financial data streams. We discuss a flexible level correlated model (LCM) framework for building hierarchical models for vector positive-valued time series. The LCM allows us to combine marginal gamma distributions for the positive-valued component responses, while accounting for association among the components at a latent level. We introduce vector autoregression evolution of the latent states, deriving its precision matrix and enabling its estimation using integrated nested Laplace approximation (INLA) for fast approximate Bayesian modeling via the <span>R-INLA</span> package, building custom functions to handle this setup. We use the proposed method to model interdependencies between intraday volatility measures from several stock indexes.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"830-849"},"PeriodicalIF":1.3,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141991646","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}

{"title":"Multivariate simulation-based forecasting for intraday power markets: Modeling cross-product price effects","authors":"Simon Hirsch,&nbsp;Florian Ziel","doi":"10.1002/asmb.2837","DOIUrl":"10.1002/asmb.2837","url":null,"abstract":"<p>Intraday electricity markets play an increasingly important role in balancing the intermittent generation of renewable energy resources, which creates a need for accurate probabilistic price forecasts. However, research to date has focused on univariate approaches, while in many European intraday electricity markets all delivery periods are traded in parallel. Thus, the dependency structure between different traded products and the corresponding cross-product effects cannot be ignored. We aim to fill this gap in the literature by using copulas to model the high-dimensional intraday price return vector. We model the marginal distribution as a zero-inflated Johnson's <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>S</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mi>U</mi>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {S}_U $$</annotation>\u0000 </semantics></math> distribution with location, scale, and shape parameters that depend on market and fundamental data. The dependence structure is modeled using copulas, accounting for the particular market structure of the intraday electricity market, such as overlapping but independent trading sessions for different delivery days and allowing the dependence parameter to be time-varying. We validate our approach in a simulation study for the German intraday electricity market and find that modeling the dependence structure improves the forecasting performance. Additionally, we shed light on the impact of the single intraday coupling on the trading activity and price distribution and interpret our results in light of the market efficiency hypothesis. The approach is directly applicable to other European electricity markets.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 6","pages":"1571-1595"},"PeriodicalIF":1.3,"publicationDate":"2024-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2837","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139583743","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}