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Applied Stochastic Models in Business and Industry最新文献

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Imperfect and worse than old maintenances for a gamma degradation process 伽马降解工艺的维护不完善，比旧工艺更糟糕
IF 1.4 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-02-16 DOI: 10.1002/asmb.2849
Franck Corset, Mitra Fouladirad, Christian Paroissin
{"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}
引用次数: 0
Modeling flight delays by an intensity-based Hawkes process 用基于强度的霍克斯过程模拟航班延误
IF 1.3 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-02-13 DOI: 10.1002/asmb.2846
Philip Hans Franses, Carlijn Smeets
{"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}
引用次数: 0
Resale regulations in online marketplaces during the COVID-19 pandemic COVID-19 大流行期间网上市场的转售规定
IF 1.4 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-29 DOI: 10.1002/asmb.2847
Yohsuke Hirose
{"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}
引用次数: 0
New tests for trend in time censored recurrent event data 对时间删减重复事件数据趋势的新测试
IF 1.3 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-28 DOI: 10.1002/asmb.2848
Bo Henry Lindqvist, Jan Terje Kvaløy
{"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}
引用次数: 0
Modeling multivariate positive-valued time series using R-INLA 使用 R-INLA 建立多元正值时间序列模型
IF 1.3 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-28 DOI: 10.1002/asmb.2834
Chiranjit Dutta, Nalini Ravishanker, Sumanta Basu
{"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}
引用次数: 0
Multivariate simulation-based forecasting for intraday power markets: Modeling cross-product price effects 基于多变量模拟的盘中电力市场预测：跨产品价格效应建模
IF 1.3 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-25 DOI: 10.1002/asmb.2837
Simon Hirsch, Florian Ziel
{"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}
引用次数: 0
Messages from the outgoing and incoming Editor-in-Chiefs 即将离任和继任主编的致辞
IF 1.4 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-21 DOI: 10.1002/asmb.2845
Fabrizio Ruggeri, Nalini Ravishanker
{"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}
引用次数: 0
Linkage vector autoregressive model 联系向量自回归模型
IF 1.3 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-16 DOI: 10.1002/asmb.2842
Manabu Asai, Mike K. P. So
{"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}
引用次数: 0
An initial investigation for employing ACH depth function in degradation model selection: A case study with real data 在退化模型选择中使用 ACH 深度函数的初步研究：真实数据案例研究
IF 1.4 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-14 DOI: 10.1002/asmb.2844
Arefe Asadi, Mitra Fouladirad, Diego Tomassi
{"title":"An initial investigation for employing ACH depth function in degradation model selection: A case study with real data","authors":"Arefe Asadi,&nbsp;Mitra Fouladirad,&nbsp;Diego Tomassi","doi":"10.1002/asmb.2844","DOIUrl":"10.1002/asmb.2844","url":null,"abstract":"<p>In degradation modeling, stochastic processes often do not meet the classical properties necessary for traditional goodness-of-fit tests. This paper presents an initial investigation into employing the ACH depth function and its potential in degradation model selection. We commence by presenting various stochastic processes as degradation models and their selection criteria. Subsequently, we delve into the ACH depth function, highlighting its potential in this context. Through simulated data, we assess the application of this functional depth measure for model selection. The methodology's validity is further reinforced by its application to real-world data, underscoring its effectiveness.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"598-619"},"PeriodicalIF":1.4,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139475668","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
Optimal maintenance policy for imperfect production systems using reliability function and defect rate 利用可靠性函数和缺陷率优化不完善生产系统的维护政策
IF 1.4 4区 数学
Applied Stochastic Models in Business and Industry Pub Date : 2024-01-04 DOI: 10.1002/asmb.2843
Jyh-Wen Ho, Yeu-Shiang Huang, Peng-Tsi Huang
{"title":"Optimal maintenance policy for imperfect production systems using reliability function and defect rate","authors":"Jyh-Wen Ho,&nbsp;Yeu-Shiang Huang,&nbsp;Peng-Tsi Huang","doi":"10.1002/asmb.2843","DOIUrl":"10.1002/asmb.2843","url":null,"abstract":"<p>This study examines how a manufacturer can improve the robustness of an imperfect production system by implementing maintenance activities, which can be measured in terms of system reliability and product failure rate. A two-dimensional maintenance policy comprising system reliability and the product defect rate is proposed to assess maintenance activity costs. The optimal thresholds of the two dimensions are analyzed to investigate the trade-off between cost and system quality. A numerical example is provided to verify the proposed model's effectiveness. The results showed that the less stable the system, the greater the total costs incurred; therefore, lower stringent thresholds may be set to prevent frequent maintenance. Moreover, a sensitivity analysis is performed to investigate the essential parameters that significantly affect maintenance decisions. The results showed that the thresholds of the reliability function and defect rate significantly impact total costs. Any inaccurate assessment of system usage could lead to incorrect estimations and a substantial increase in cost.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"813-825"},"PeriodicalIF":1.4,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139386884","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
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