Applied Stochastic Models in Business and Industry最新文献

{"title":"Joint Probability Functions for Scenarios Arising From Multi-State Series and Multi-State Parallel Systems","authors":"Leena Kulkarni, Sanjeev Sabnis, Sujit K. Ghosh","doi":"10.1002/asmb.2922","DOIUrl":"https://doi.org/10.1002/asmb.2922","url":null,"abstract":"<div>\u0000 \u0000 <p>Consider multi-state series and multi-state parallel systems consisting of <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>N</mi>\u0000 </mrow>\u0000 <annotation>$$ N $$</annotation>\u0000 </semantics></math> independent components each. It is assumed that (i) each component and both the systems take values in the set <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>{</mo>\u0000 <mn>0</mn>\u0000 <mo>,</mo>\u0000 <mn>1</mn>\u0000 <mo>,</mo>\u0000 <mn>2</mn>\u0000 <mo>}</mo>\u0000 </mrow>\u0000 <annotation>$$ left{0,1,2right} $$</annotation>\u0000 </semantics></math>, (ii) each system and each component start out in state 2, the perfect state, and they make the transition to state 1, depending upon system configuration, and, eventually, each system enters state 0, the failed state. This multi-state nature of components and systems leads to <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>N</mi>\u0000 </mrow>\u0000 <annotation>$$ N $$</annotation>\u0000 </semantics></math> scenarios under which each of the systems makes the transition from state 2 to state 1, and eventually to state 0. The joint probability function for times spent in state 2 and state 1 is obtained based on these <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>N</mi>\u0000 </mrow>\u0000 <annotation>$$ N $$</annotation>\u0000 </semantics></math> scenarios for each of the systems. It is interesting to note that by merely changing set <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>{</mo>\u0000 <mn>0</mn>\u0000 <mo>,</mo>\u0000 <mn>1</mn>\u0000 <mo>}</mo>\u0000 </mrow>\u0000 <annotation>$$ left{0,1right} $$</annotation>\u0000 </semantics></math> of a standard binary series (parallel) system to a set <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>{</mo>\u0000 <mn>0</mn>\u0000 <mo>,</mo>\u0000 <mn>1</mn>\u0000 <mo>,</mo>\u0000 <mn>2</mn>\u0000 <mo>}</mo>\u0000 </mrow>\u0000 <annotation>$$ left{0,1,2right} $$</annotation>\u0000 </semantics></math> of a multi-state series (multi-state parallel) system, renders expression of the joint probability function of system spending times in state 2 and state 1 of a multi-state series (multi-state parallel) system is quite complex as compared to the univariate survival probability of the binary series (parallel) system being in the functioning state. As a proof of concept, graphical comparison between these analytical joint probability functions and joint e","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143121224","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":"On Classical Inference of a Flexible Semi-Parametric Class of Distributions Under a Joint Balanced Progressive Censoring Scheme","authors":"Dhrubasish Bhattacharyya,&nbsp;Debasis Kundu","doi":"10.1002/asmb.2924","DOIUrl":"https://doi.org/10.1002/asmb.2924","url":null,"abstract":"<div>\u0000 \u0000 <p>The paper deals with the estimation procedures for the proportional hazard class of distributions under a two-sample balanced joint progressive censoring scheme. The baseline hazard function is assumed to be piecewise constant, instead of any specific form. This adds flexibility to the proposed model, and the shape of the underlying hazard function is completely data-driven. Since the complicated form of the likelihood function does not yield closed-form estimators, we propose a variant of the Expectation-Maximization algorithm, known as the Expectation Conditional Maximization (ECM) algorithm, for obtaining maximum likelihood estimates of the model parameters. This leads to explicit expressions for the iterative constrained maximization steps of the algorithm. An extension to the case when the cut points are unknown has also been considered for dealing with problems involving real data. Simulation results and illustrations using real data have also been presented.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143121222","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":"Enhancing Predictive Modeling of Chinese Yam Shape Through Bayesian Linear Modeling and Key Diameter Modification","authors":"Haifeng Zhang,&nbsp;Koki Kyo,&nbsp;Mitsuru Hachiya,&nbsp;Hideo Noda","doi":"10.1002/asmb.2921","DOIUrl":"https://doi.org/10.1002/asmb.2921","url":null,"abstract":"<p>In the development of devices for cutting Chinese yams into chunks for use as seeds, accurately measuring the yam's shape with a simple mechanism is crucial. In our prior study, we introduced a statistical approach for predicting the shape of a Chinese yam based on its key diameters. This method involves organizing sample data, estimating diameters at discrete points along the central axis, and constructing a predictive model based on these estimated diameters. However, the initial predictive model relied on separate regression models for each point, potentially leading to instability. In this article, we enhance our previous approach by incorporating a new step that refines the estimation of regression coefficients through Bayesian linear modeling methods. This modification allows for the simultaneous estimation of regression coefficients, ensuring greater stability in the reconstructed model. Additionally, we modify the method for locating key diameters. To validate the performance of the enhanced approach, we apply it to a set of samples and compare the output of the reconstructed model with that of our initial method. The results demonstrate improved stability and performance, highlighting the efficacy of the refined modeling technique.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2921","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143121025","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":"Latent Activation Limited Failure Models, Stochastic Ordering and Identifiability","authors":"Qi Jiang,&nbsp;Sanjib Basu","doi":"10.1002/asmb.2920","DOIUrl":"https://doi.org/10.1002/asmb.2920","url":null,"abstract":"<p>Limited failure or cure rate models provide generalization of lifetime models which allow the possibility of subjects or units to be cured or be failure-free. While modeling and analysis of such models are extensively studied, we study the important question of identifiability of these models. We discuss the latent and hierarchical activation cure models and establish a series of results on stochastic ordering within these models. We also establish a series of results on identifiability of these models under various conditions. Further, we demonstrate multiple cases where there models are not identifiable and illustrate the potential difficulty with these models in a simulation study.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2920","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143121024","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":"Interpretable Machine Learning Based on Functional ANOVA Framework: Algorithms and Comparisons","authors":"Linwei Hu,&nbsp;Vijayan N. Nair,&nbsp;Agus Sudjianto,&nbsp;Aijun Zhang,&nbsp;Jie Chen,&nbsp;Zebin Yang","doi":"10.1002/asmb.2916","DOIUrl":"https://doi.org/10.1002/asmb.2916","url":null,"abstract":"<div>\u0000 \u0000 <p>In the early days of machine learning (ML), the emphasis was on developing complex algorithms to achieve best possible predictive performance. To understand and explain the model results, one had to rely on post hoc explainability techniques, which are known to have limitations. Recently, with the recognition in regulated industries that interpretability is also important, researchers are studying algorithms that compromise on small increases in predictive performance in favor of being more interpretable. While doing so, the ML community has rediscovered the use of low-order functional ANOVA (fANOVA) models that have been known in the statistical literature for some time. This paper starts with a description of challenges with post hoc explainability. This is followed by a brief review of the fANOVA framework with a focus on models with just main effects and second-order interactions (called generalized additive models with interactions or GAMI = GAM + Interactions). It then provides an overview of two recently developed GAMI techniques: Explainable Boosting Machines or EBM and GAMI-Net. The paper proposes a new algorithm that also uses trees, as in EBM, but does linear fits instead of piecewise constants within the partitions. We refer to this as GAMI-linear-tree (GAMI-Lin-T). There are many other differences, including the development of a new interaction filtering algorithm. The paper uses simulated and real datasets to compare the three fANOVA ML algorithms. The results show that GAMI-Lin-T and GAMI-Net have comparable performances, and both are generally better than EBM.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143120641","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":"Negative Probability","authors":"Nick Polson,&nbsp;Vadim Sokolov","doi":"10.1002/asmb.2910","DOIUrl":"https://doi.org/10.1002/asmb.2910","url":null,"abstract":"<p>Negative probabilities arise primarily in physics, statistical quantum mechanics, and quantum computing. Negative probabilities arise as mixing distributions of unobserved latent variables in Bayesian modeling. Our goal is to provide a link between these two viewpoints. Bartlett provides a definition of negative probabilities based on extraordinary random variables and properties of their characteristic function. A version of the Bayes rule is given with negative mixing weights. The classic half-coin distribution and Polya-Gamma mixing are discussed. Heisenberg's principle of uncertainty and the duality of scale mixtures of Normals is also discussed. A number of examples of dual densities with negative mixing measures are provided including the Linnik and Wigner distributions. Finally, we conclude with directions for future research.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2910","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143120639","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":"Heterogeneity in Populations and the Paradoxes of Survival: A Tribute to Nozer Singpurwalla","authors":"Maxim Finkelstein,&nbsp;Ji Hwan Cha","doi":"10.1002/asmb.2919","DOIUrl":"https://doi.org/10.1002/asmb.2919","url":null,"abstract":"<div>\u0000 \u0000 <p>We consider several survival models in heterogeneous settings. Heterogeneity in the failure rates of subpopulations results (as a specific case) in the famous failure rate paradox when the failure rate of a mixture of items with constant failure rates is decreasing. Random failure rate that is due to a point process that increases it at random times on fixed values also results in the “bending down” of the population failure rate. Similar effect is observed while analyzing the extreme shock models with shock processes that possess memory. Finally, another paradox when, due to heterogeneity in a vital parameter of a model, a terminating point process with decreasing rate after “mixing” becomes a non-terminating one with increasing rate is described. Those are the impacts of heterogeneity that are discussed from the unified perspective that employs the “principle”: the weaker subpopulations are dying out first.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143120642","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":"Probability and Fuzzy Working in Concert—Honoring the Reliability Contributions of Nozer D. Singpurwalla","authors":"Kimberly F. Sellers,&nbsp;Jane M. Booker","doi":"10.1002/asmb.2918","DOIUrl":"https://doi.org/10.1002/asmb.2918","url":null,"abstract":"<div>\u0000 \u0000 <p>Since Lotfi Zadeh introduced fuzzy logic and fuzzy sets, this theory characterizing the uncertainty of classification has a proven record in fields of computation and engineering. These successful applications, however, have been falsely interpreted as competition or replacement of probability theory by those in many statistical and mathematical communities. Such misconceptions are the result of a lack of understanding about types of uncertainties, and anchored attitudes clinging to the past. Nozer Singpurwalla, among other statisticians, came to the realization that probability and fuzzy set theory can and should work in concert (i.e., not in competition) to accommodate two different types of uncertainty present within a problem or system. The authors had the honor to collaborate with Nozer; those works are featured as successful applications of the probability measure of fuzzy sets in reliability where respective uncertainties of the outcome of events and of classification exist. This paper features those works which embody the use of Bayesian analysis and the subjective interpretation of probability.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143120640","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":"Foreword to the Special Issue on Energy Finance and Climate Change","authors":"Roberto Baviera,&nbsp;Carlo Sgarra,&nbsp;Tiziano Vargiolu,&nbsp;Rituparna Sen","doi":"10.1002/asmb.2909","DOIUrl":"https://doi.org/10.1002/asmb.2909","url":null,"abstract":"","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 6","pages":"1470-1471"},"PeriodicalIF":1.3,"publicationDate":"2024-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142868033","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":"Is (Independent) Subordination Relevant in Equity Derivatives?","authors":"Michele Azzone, Roberto Baviera","doi":"10.1002/asmb.2904","DOIUrl":"https://doi.org/10.1002/asmb.2904","url":null,"abstract":"Monroe (1978) demonstrates that any local semimartingale can be represented as a time‐changed Brownian Motion (BM). A natural question arises: does this representation theorem hold when the BM and the time‐change are independent? We prove that a local semimartingale is not equivalent to a BM with a time‐change that is independent from the BM. Our result is obtained utilizing a class of additive processes: the additive normal tempered stable (ATS). This class of processes exhibits an exceptional ability to calibrate the equity volatility surface accurately. We notice that the sub‐class of additive processes that can be obtained with an independent additive subordination is incompatible with market data and shows significantly worse calibration performances than the ATS, especially on short time maturities. These results have been observed every business day in a semester on a dataset of S&amp;P 500 and EURO STOXX 50 options.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"22 1","pages":""},"PeriodicalIF":1.4,"publicationDate":"2024-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142665589","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}