Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 15, issue 4, 2013

Tauberian and Abelian Theorems for Long-range Dependent Random Fields pp. 715-742

Nikolai Leonenko and Andriy Olenko

Sojourn Time in an Union of Intervals for Diffusions pp. 743-771

Aimé Lachal

On a Generalization from Ruin to Default in a Lévy Insurance Risk Model pp. 773-802

Runhuan Feng and Yasutaka Shimizu

Assessing the Impact of Intervention Delays on Stochastic Epidemics pp. 803-820

Simon Edward Frank Spencer and Philip D. O’Neill

Alarm Systems and Catastrophes from a Diverse Point of View pp. 821-839

Pasquale Cirillo, Jürg Hüsler and Pietro Muliere

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts pp. 841-874

Gareth William Peters, Mark Briers, Pavel Shevchenko and Arnaud Doucet

Large Deviations for Proportions of Observations Which Fall in Random Sets Determined by Order Statistics pp. 875-896

Enkelejd Hashorva, Claudio Macci and Barbara Pacchiarotti

Distribution of Statistics of Hidden State Sequences Through the Sum-Product Algorithm pp. 897-918

Donald E. K. Martin and John A. D. Aston

Probability that a Sequence is Lost Without Trace Under the Neutral Wright–Fisher Model with Recombination pp. 919-933

Badri K. Padhukasahasram

Asymptotic Analysis of Traffic Lights Performance Under Heavy Traffic Assumption pp. 935-950

Larisa Afanasyeva and Ekaterina Bulinskaya

Generating a Random Collection of Discrete Joint Probability Distributions Subject to Partial Information pp. 951-967

Luis V. Montiel and J. Eric Bickel

Computation of the Distribution of the Maximum of Stationary Gaussian Processes pp. 969-985

Jean-Marc Azaïs and Alan Genz

Confidence Interval for the Risk-Score Index pp. 987-1002

Kenneth J. Hochberg, Amir Sandach, Mitchell Snyder and Uzi Vishne

Volume 15, issue 3, 2013

Exact Computation and Approximation of Stochastic and Analytic Parameters of Generalized Sierpinski Gaskets pp. 485-509

Uta Freiberg and Christoph Thäle

Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals pp. 511-524

Nicolas Privault and Wayne Isaac Uy

Expansions for the Distribution of the Maximum from Distributions with a Power Tail when a Trend is Present pp. 525-546

Christopher S. Withers and Saralees Nadarajah

Multi-asset American Options and Parallel Quantization pp. 547-561

Anne Laure Bronstein, Gilles Pagès and Jacques Portès

A Simple and Complete Computational Analysis of MAP/R/1 Queue Using Roots pp. 563-582

M. L. Chaudhry, Gagandeep Singh and U. C. Gupta

Runs Based on Records: Their Distributional Properties and an Application to Testing for Dispersive Ordering pp. 583-594

Narayanaswamy Balakrishnan and Alexei Stepanov

The Single Server Queue with Catastrophes and Geometric Reneging pp. 595-621

Spiros Dimou and Antonis Economou

Bayesian Inference for Hawkes Processes pp. 623-642

Jakob Gulddahl Rasmussen

On the Arrangement of Cells in Planar STIT and Poisson Line Tessellations pp. 643-654

Claudia Redenbach and Christoph Thäle

Tail Behavior of Poisson Shot Noise Processes under Heavy-tailed Shocks and Actuarial Applications pp. 655-682

Chengguo Weng, Yi Zhang and Ken Seng Tan

An Urn Model for Population Mixing and the Phases Within pp. 683-706

Zhang Tong and Hosam M. Mahmoud

Appendix to “Approximating Perpetuities” pp. 707-712

Margarete Knape and Ralph Neininger

Random Motion on Simple Graphs: Addendum pp. 713-713

V. G. Papanicolaou

Volume 15, issue 2, 2013

Stochastic Enumeration Method for Counting NP-Hard Problems pp. 249-291

Reuven Rubinstein

On the Convergence Rate of Random Permutation Sampler and ECR Algorithm in Missing Data Models pp. 293-304

Panagiotis Papastamoulis and George Iliopoulos

Markov Chains Competing for Transitions: Application to Large-Scale Distributed Systems pp. 305-332

Emmanuelle Anceaume, François Castella, Romaric Ludinard and Bruno Sericola

The Weak Convergence Theorem for the Distribution of the Maximum of a Gaussian Random Walk and Approximation Formulas for its Moments pp. 333-347

Fikri Gökpınar, Tahir Khaniyev and Zulfiyya Mammadova

Generating Functions of Waiting Times and Numbers of Visits for Random Walks on Graphs pp. 349-362

Kiyoshi Inoue, Sigeo Aki and Balakrishnan Narayanaswamy

Omnibus Sequences, Coupon Collection, and Missing Word Counts pp. 363-378

Sunil Abraham, Greg Brockman, Stephanie Sapp and Anant P. Godbole

Weighting Cusums for Increased Power Near the End Points pp. 379-405

Christopher S. Withers and Saralees Nadarajah

On Dynamic Generalized Linear Models with Applications pp. 407-421

Sourish Das and Dipak K. Dey

Tandem Queues with Impatient Customers for Blood Screening Procedures pp. 423-451

Shaul K. Bar-Lev, Hans Blanc, Onno Boxma, Guido Janssen and David Perry

On Finite Markov Chain Imbedding and Its Applications pp. 453-465

Tung-Lung Wu

The Decay Parameter and Invariant Measures for Markovian Bulk-Arrival Queues with Control at Idle Time pp. 467-484

Li Junping and Chen Anyue

Volume 15, issue 1, 2013

MARM Processes Part I: General Theory pp. 1-35

Benjamin Melamed and Xiang Zhao

MARM Processes Part II: The Empirically-Based Subclass pp. 37-83

Benjamin Melamed and Xiang Zhao

On the First-Passage Area of a One-Dimensional Jump-Diffusion Process pp. 85-103

Mario Abundo

Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments pp. 105-108

Philipp Arbenz

Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate pp. 109-124

Kaiyong Wang, Yuebao Wang and Qingwu Gao

Introduction to Shape Stability for a Storage Model pp. 125-146

M. V. Menshikov, V. V. Sisko and M. Vachkovskaia

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations pp. 147-163

Nicola Cufaro Petroni and Piergiacomo Sabino

Approximation of the Tail Probability of Dependent Random Sums Under Consistent Variation and Applications pp. 165-186

Zhengyan Lin and Xinmei Shen

A q-Analogue of the Stirling Formula and a Continuous Limiting Behaviour of the q-Binomial Distribution—Numerical Calculations pp. 187-213

Andreas George Kyriakoussis and Malvina Vamvakari

On the Generalized Telegraph Process with Deterministic Jumps pp. 215-235

Antonio Di Crescenzo and Barbara Martinucci

CLTs and Asymptotic Variance of Time-Sampled Markov Chains pp. 237-247

Krzysztof Łatuszyński and Gareth O. Roberts

Volume 14, issue 4, 2012

Reliability Measures of Semi-Markov Systems with General State Space pp. 895-917

Nikolaos Limnios

Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model pp. 919-936

Li Qin and Susan M. Pitts

A Double-ended Queue with Catastrophes and Repairs, and a Jump-diffusion Approximation pp. 937-954

Antonio Crescenzo, Virginia Giorno, Balasubramanian Krishna Kumar and Amelia G. Nobile

Backward Stochastic Difference Equations for a Single Jump Process pp. 955-971

Leo Shen and Robert J. Elliott

On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation pp. 973-995

Zhimin Zhang, Hailiang Yang and Hu Yang

Exact Distribution of the Product of N Student’s t RVs pp. 997-1009

Saralees Nadarajah

Model Based Estimation of Geometric Characteristics of Open Foams pp. 1011-1032

Katja Schladitz, Claudia Redenbach, Tetyana Sych and Michael Godehardt

Competing Between Two Groups of Individuals Following Frailty Models pp. 1033-1051

Xiaohu Li, Gaofeng Da and Peng Zhao

Saddlepoint Approximations to Tail Probabilities and Quantiles of Inhomogeneous Discounted Compound Poisson Processes with Periodic Intensity Functions pp. 1053-1074

Riccardo Gatto

Bayesian Assessment of Availabilities and Unavailabilities of Multistate Monotone Systems pp. 1075-1095

Bent Natvig, Jørund Inge Gåsemyr and Trond Reitan

Bayesian Model Choice of Grouped t-Copula pp. 1097-1119

Xiaolin Luo and Pavel V. Shevchenko

Erratum to: Bayesian Copulae Distributions, with Application to Operational Risk Management pp. 1121-1121

Luciana Dalla Valle

Volume 14, issue 3, 2012

Editorial pp. 405-406

Raúl Jiménez and José Luis Palacios

Stochastic Comparisons of Symmetric Sampling Designs pp. 407-420

Larry Goldstein, Yosef Rinott and Marco Scarsini

New Results About Weakly Equivalent MAP 2 and MAP 3 Processes pp. 421-444

Pepa Ramírez-Cobo and Rosa E. Lillo

1-Dependent Stationary Sequences for Some Given Joint Distributions of Two Consecutive Random Variables pp. 445-458

George Haiman

Inference on High-Dimensional Mean Vectors with Fewer Observations Than the Dimension pp. 459-476

Kazuyoshi Yata and Makoto Aoshima

New Central Limit Theorems for Functionals of Gaussian Processes and their Applications pp. 477-500

José Manuel Corcuera

On Two-Stage Comparisons with a Control Under Heteroscedastic Normal Distributions pp. 501-522

Nitis Mukhopadhyay and Tumulesh K. S. Solanky

Exact and Asymptotically Optimal Bandwidths for Kernel Estimation of Density Functionals pp. 523-548

José E. Chacón and Carlos Tenreiro

A Survey on the Pseudo-process Driven by the High-order Heat-type Equation $\boldsymbol{\partial/\partial t=\pm\partial^N\!/\partial x^N}$ Concerning the Hitting and Sojourn Times pp. 549-566

Aimé Lachal

On Estimation of the Intensity Function of a Point Process pp. 567-578

Marie-Colette N. M. Lieshout

Sequential Order Statistics: Ageing and Stochastic Orderings pp. 579-596

Nuria Torrado, Rosa E. Lillo and Michael P. Wiper

Approximations and Inequalities for Moving Sums pp. 597-616

Joseph Glaz, Joseph Naus and Xiao Wang

Global Dependence Stochastic Orders pp. 617-648

Moshe Shaked, Miguel A. Sordo and Alfonso Suárez-Llorens

State-of-the-Art in Sequential Change-Point Detection pp. 649-684

Aleksey S. Polunchenko and Alexander G. Tartakovsky

Estimation of the Expected Number of Earthquake Occurrences Based on Semi-Markov Models pp. 685-703

Irene Votsi, Nikolaos Limnios, George Tsaklidis and Eleftheria Papadimitriou

Effect of Data Transformations on Predictive Risk Indicators pp. 705-716

Francisco Javier Alonso, María del Carmen Bueso and José Miguel Angulo

On the Moments and the Distribution of the Cost of a Semi Markov Model for Healthcare Systems pp. 717-737

Aleka A. Papadopoulou, George Tsaklidis, Sally McClean and Lalit Garg

Drawdowns and the Speed of Market Crash pp. 739-752

Hongzhong Zhang and Olympia Hadjiliadis

Weighted Moment Estimators for the Second Order Scale Parameter pp. 753-783

Tertius de Wet, Yuri Goegebeur and Armelle Guillou

Goodness-of-Fit and Sufficiency: Exact and Approximate Tests pp. 785-791

Michael A. Stephens

Weak Convergence of Marked Empirical Processes for Focused Inference on AR(p) vs AR(p + 1) Stationary Time Series pp. 793-810

Alejandra Cabaña, Enrique M. Cabaña and Marco Scavino

Extended Truncated Tweedie-Poisson Model pp. 811-829

Jordi Valero, Josep Ginebra and Marta Pérez-Casany

On the Distribution of the Number of Occurrences of an Order-Preserving Pattern of Length Three in a Random Permutation pp. 831-842

James C. Fu

Diffusion Approximation of an Array of Controlled Branching Processes pp. 843-861

Miguel González and Inés M. Puerto

On the Distributions of the State Sizes of the Continuous Time Homogeneous Markov System with Finite State Capacities pp. 863-882

George Vasiliadis

Spatio-Temporal Model for a Random Set Given by a Union of Interacting Discs pp. 883-894

Markéta Zikmundová, Kateřina Staňková Helisová and Viktor Beneš

Volume 14, issue 2, 2012

Distribution Functions of Poisson Random Integrals: Analysis and Computation pp. 169-202

Mark Veillette and Murad S. Taqqu

Some Large Deviations Results for Latin Hypercube Sampling pp. 203-232

Shane S. Drew and Tito Homem- de-Mello

On a Risk Model with Surplus-dependent Premium and Tax Rates pp. 233-251

Eric C. K. Cheung and David Landriault

On a Generalized Chu–Vandermonde Identity pp. 253-262

Stefano Favaro, Igor Prünster and Stephen G. Walker

Fractional Normal Inverse Gaussian Process pp. 263-283

Arun Kumar and Palaniappan Vellaisamy

Random Motion on Simple Graphs pp. 285-297

Vassilis G. Papanicolaou, Effie G. Papageorgiou and Dimitris C. Lepipas

An Investigation of New Graph Invariants Related to the Domination Number of Random Proximity Catch Digraphs pp. 299-334

Elvan Ceyhan

On Properties of the (Φ, a)-Power Divergence Family with Applications in Goodness of Fit Tests pp. 335-356

Filia Vonta, Kyriacos Mattheou and Alex Karagrigoriou

On Suboptimal LCS-alignments for Independent Bernoulli Sequences with Asymmetric Distributions pp. 357-382

Stanislaw Barder, Jüri Lember, Heinrich Matzinger and Märt Toots

Simulation and Estimation for the Fractional Yule Process pp. 383-403

Dexter O. Cahoy and Federico Polito

Volume 14, issue 1, 2012

Editorial pp. 1-3

Raimondo Manca, Christos H. Skiadas and Mariano J. Valderrama

On the Smoothing Estimation Problem for the Intensity of a DSMPP pp. 5-16

Rosa Maria Fernández-Alcalá, Jesus Navarro-Moreno and Juan C. Ruiz-Molina

Local Unit Roots and Global Stationarity of TARMA Models pp. 17-34

Marcella Niglio and Cosimo Damiano Vitale

Two-sex Branching Models with Random Control on the Number of Progenitor Couples pp. 35-48

Manuel Molina, Manuel Mota and Alfonso Ramos

Multiphasic Individual Growth Models in Random Environments pp. 49-56

Patrícia A. Filipe, Carlos A. Braumann and Carlos J. Roquete

Functional Estimation of the Random Rate of a Cox Process pp. 57-69

Paula R. Bouzas, Ana M. Aguilera and Nuria Ruiz-Fuentes

Experimenting with the Coxian Phase-Type Distribution to Uncover Suitable Fits pp. 71-86

Adele H. Marshall and Mariangela Zenga

Stock Data Clustering and Multiscale Trend Detection pp. 87-105

Andreea B. Dragut

Modelling NASDAQ Series by Sparse Multifractional Brownian Motion pp. 107-124

Pierre R. Bertrand, Abdelkader Hamdouni and Samia Khadhraoui

Exact Bayesian Prediction in a Class of Markov-switching Models pp. 125-134

Noémie Bardel and François Desbouvries

The Stratified Sampling Bootstrap for Measuring the Uncertainty in Mortality Forecasts pp. 135-148

Valeria D’Amato, Steven Haberman and Maria Russolillo

Autocopulas: Investigating the Interdependence Structure of Stationary Time Series pp. 149-167

Pál Rakonczai, László Márkus and András Zempléni