Applied Stochastic Models in Business and Industry最新文献

{"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":"<p>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 <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math>-component coherent systems. Under this proposed strategy, the system begins operating at <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 <mo>=</mo>\u0000 <mn>0</mn>\u0000 </mrow>\u0000 <annotation>$$ t=0 $$</annotation>\u0000 </semantics></math> and undergoes preventative maintenance (PM) at a time <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>T</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {T}_p $$</annotation>\u0000 </semantics></math>. If the system fails before <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>T</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {T}_p $$</annotation>\u0000 </semantics></math>, it will be replaced with a new one. If the system is still functioning at time <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>T</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {T}_p $$</annotation>\u0000 </semantics></math>, 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 <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>T</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {T}_p $$</annotation>\u0000 </semantics></math> is below a predetermined threshold <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>m</mi>\u0000 </mrow>\u0000 <annotation>$$ m $$</annotation>\u0000 </semantics></math>, 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}

{"title":"Messages from the outgoing and incoming Editor-in-Chiefs","authors":"Fabrizio Ruggeri,&nbsp;Nalini Ravishanker","doi":"10.1002/asmb.2845","DOIUrl":"10.1002/asmb.2845","url":null,"abstract":"","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 1","pages":"4"},"PeriodicalIF":1.4,"publicationDate":"2024-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139610249","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":"Linkage vector autoregressive model","authors":"Manabu Asai,&nbsp;Mike K. P. So","doi":"10.1002/asmb.2842","DOIUrl":"10.1002/asmb.2842","url":null,"abstract":"<p>To accommodate linkage effects of individuals, we develop a new linkage vector autoregressive (LAR) model for dynamic panel data. A main feature of the LAR model is incorporating dynamic network information in autoregressive time series modeling. The dynamic network can be given, or we can formulate the network links as a function of historical data, where unknown parameters of the function can be estimated from the data. We propose a simulation technique to check the stationarity condition of the LAR model and suggest a Bayesian Markov chain Monte Carlo method for estimation. Empirical results for the quarterly growth rates of gross domestic product (GDP) in 45 countries indicate that (i) the autoregressive (AR) coefficient for the aggregated growth rate is hard to distinguish from zero; (ii) a panel AR model with individual effects has a positive autocorrelation; and (iii) the alternative LAR models are preferred to the panel AR model. Depending on the specification of the linkage variables, the sign and size of the linkage effect can differ. The logistic linkage function has a flexible structure to accommodate the size of the linkage of individual GDP growth rates, and it strengthens the dynamics.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"850-862"},"PeriodicalIF":1.3,"publicationDate":"2024-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139483720","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}