Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 17, issue 4, 2015

Editorial pp. 843-845

Christos H. Skiadas, Mariano Valderrama and Vladimir Zaiats

A Regularized Particle Filter EM Algorithm Based on Gaussian Randomization with an Application to Plant Growth Modeling pp. 847-870

Yuting Chen, Samis Trevezas and Paul-Henry Cournède

Bayesian Threshold Regression Model with Random Effects for Recurrent Events pp. 871-898

P. Economou, S. Malefaki and C. Caroni

Discrete-time Insurance Model with Capital Injections and Reinsurance pp. 899-914

Ekaterina Bulinskaya, Julia Gusak and Anastasia Muromskaya

Exact Calculation of the Distributions of the Stopping Times of Two Types of Truncated SPRT for the Mean of the Exponential Distribution pp. 915-927

Shyamal K De and Shelemyahu Zacks

Rate of Occurrence of Failures (ROCOF) of Higher-Order for Markov Processes: Analysis, Inference and Application to Financial Credit Ratings pp. 929-949

Guglielmo D’Amico

Assessing the Importance of Risk Factors in Distance-Based Generalized Linear Models pp. 951-962

Eva Boj, Teresa Costa, Josep Fortiana and Anna Esteve

Regression Models for Repairable Systems pp. 963-972

Petr Novák

Exploring the State of a Stochastic System via Stochastic Simulations: An Interesting Inversion Problem and the Health State Function pp. 973-982

Christos H. Skiadas and Charilaos Skiadas

Discrete Time Homogeneous Markov Processes for the Study of the Basic Risk Processes pp. 983-998

Guglielmo D’Amico, Fulvio Gismondi, Jacques Janssen and Raimondo Manca

Estimating the Model with Fixed and Random Effects by a Robust Method pp. 999-1014

Jan Ámos Víšek

Functional Wavelet-Based Modelling of Dependence Between Lupus and Stress pp. 1015-1028

Ana M. Aguilera, Manuel Escabias, Francisco A. Ocaña and Mariano J. Valderrama

Incorporating the Stochastic Process Setup in Parameter Estimation pp. 1029-1036

Lino Sant and Mark Anthony Caruana

SGR Modeling of Correlational Effects in Fake Good Self-report Measures pp. 1037-1055

Luigi Lombardi, Massimiliano Pastore, Massimo Nucci and Andrea Bobbio

Volume 17, issue 3, 2015

Generalized Fractional Nonlinear Birth Processes pp. 525-540

Mohsen Alipour, Luisa Beghin and Davood Rostamy

Moments and Cumulants of a Mixture pp. 541-564

Christopher S. Withers, Saralees Nadarajah and Shou Hsing Shih

Approximation for the Distribution of Three-dimensional Discrete Scan Statistic pp. 565-578

Alexandru Amărioarei and Cristian Preda

Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives pp. 579-604

K. Bujok, B. M. Hambly and C. Reisinger

Time to Extinction in Subcritical Two-Sex Branching Processes pp. 605-616

David M. Hull, Manuel Mota and George P. Yanev

Comparisons of Largest Order Statistics from Multiple-outlier Gamma Models pp. 617-645

Peng Zhao and N. Balakrishnan

A Differential Equation for a Class of Discrete Lifetime Distributions with an Application in Reliability pp. 647-660

Attila Csenki

Methods and Algorithms to Test the Hausdorff and Simplex Dispersion Orders with an R Package pp. 661-675

Guillermo Ayala, María Concepción López-Díaz, Miguel López-Díaz and Lucía Martínez-Costa

Telegraph Processes with Random Jumps and Complete Market Models pp. 677-695

Nikita Ratanov

Solving Wentzell-Dirichlet Boundary Value Problem with Superabundant Data Using Reflecting Random Walk Simulation pp. 697-719

J.-P. Morillon

Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model pp. 721-738

C. A. Abanto-Valle, V. H. Lachos and Dipak K. Dey

Transient Behavior of Fractional Queues and Related Processes pp. 739-759

Dexter O. Cahoy, Federico Polito and Vir Phoha

Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process pp. 761-780

Antonio Di Crescenzo and Shelemyahu Zacks

Performance Analysis of Second Order Semi-Markov Chains: An Application to Wind Energy Production pp. 781-794

Guglielmo D’Amico, Filippo Petroni and Flavio Prattico

Distributional Bounds for Portfolio Risk with Tail Dependence pp. 795-816

Kunio So and Junichi Imai

Squares of Non-Standard-Normal or Non-Student’s-t1 RVs Which Have Chi-Square1 or F1,1 Distributions: A Return Visit pp. 817-822

Nitis Mukhopadhyay

Estimating Parametric Models of Probability Distributions pp. 823-831

Dilip B. Madan

Power of Discrete Scan Statistics: a Finite Markov Chain Imbedding Approach pp. 833-841

Wan-Chen Lee

Volume 17, issue 2, 2015

The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy pp. 251-283

Wei Wang

Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance pp. 285-313

Michael Schröder

Gradient Free Parameter Estimation for Hidden Markov Models with Intractable Likelihoods pp. 315-349

Elena Ehrlich, Ajay Jasra and Nikolas Kantas

First and Last Passage Times of Spectrally Positive Lévy Processes with Application to Reliability pp. 351-372

Christian Paroissin and Landy Rabehasaina

Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion Process pp. 373-381

Nenghui Kuang and Huantian Xie

Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes pp. 383-401

Lucia Caramellino, Barbara Pacchiarotti and Simone Salvadei

Analysis on a Stochastic Two-Species Ratio-Dependent Predator-Prey Model pp. 403-418

Jingliang Lv, Ke Wang and Dongdong Chen

Asymptotic Normality for Inference on Multisample, High-Dimensional Mean Vectors Under Mild Conditions pp. 419-439

Makoto Aoshima and Kazuyoshi Yata

Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails pp. 441-461

Søren Asmussen and Dominik Kortschak

Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims pp. 463-477

Xiaohu Li, Jintang Wu and Jinsen Zhuang

Detection of Significant Genomic Alterations via Simultaneous Minimal Sojourns at a State by Independent Continuous-time Markov Chains pp. 479-487

Stéphane Robin and Valeri T. Stefanov

On the Distribution of the Length of the Longest Increasing Subsequence in a Random Permutation pp. 489-496

James C. Fu and Yu-Fei Hsieh

On the Integrated Tail of the Deficit in the Renewal Risk Model pp. 497-513

Georgios Psarrakos

Remarks on the Stable S α (β,γ,μ) Distribution pp. 515-524

Tibor K. Pogány and Saralees Nadarajah

Volume 17, issue 1, 2015

Editorial pp. 1-3

Nikolaos Limnios, Yuliya Mishura and Lyudmyla Sakhno

B.V. Gnedenko: Classic of Limit Theorems in the Theory of Probability pp. 5-14

Volodymyr S. Koroliuk

Market Viability and Martingale Measures under Partial Information pp. 15-39

Claudio Fontana, Bernt Øksendal and Agnès Sulem

Estimation Problems for Periodically Correlated Isotropic Random Fields pp. 41-57

Iryna Dubovetska, Oleksandr Masyutka and Mikhail Moklyachuk

Stratified Monte Carlo Quadrature for Continuous Random Fields pp. 59-72

Konrad Abramowicz and Oleg Seleznjev

Stable CLTs and Rates for Power Variation of α-Stable Lévy Processes pp. 73-90

Jan M. Gairing and Peter Imkeller

Stochastic Equations and Inclusions with Mean Derivatives and Some Applications pp. 91-105

Yuri E. Gliklikh and Olga O. Zheltikova

Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE’s pp. 107-123

D. O. Ivanenko and A. M. Kulik

A Quasi Random Walk to Model a Biological Transport Process pp. 125-137

Peter Keller, Sylvie Rœlly and Angelo Valleriani

Convergence in L p ([0, T]) of Wavelet Expansions of φ-Sub-Gaussian Random Processes pp. 139-153

Yuriy Kozachenko, Andriy Olenko and Olga Polosmak

Fractional Poisson Fields pp. 155-168

Nikolai Leonenko and Ely Merzbach

Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations pp. 169-188

Alexander Melnikov, Yuliya Mishura and Georgiy Shevchenko

Penultimate Approximations in Statistics of Extremes and Reliability of Large Coherent Systems pp. 189-206

Paula Reis, Luísa Canto e Castro, Sandra Dias and M. Ivette Gomes

Maximum-Likelihood Asymptotic Inference for Autoregressive Hilbertian Processes pp. 207-222

M. D. Ruiz-Medina and R. M. Espejo

Sampling Bias Correction in the Model of Mixtures with Varying Concentrations pp. 223-234

Olena Sugakova and Rostyslav Maiboroda

Almost Sure Approximation of the Superposition of the Random Processes pp. 235-250

Nadiia Zinchenko