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Applied Stochastic Models in Business and Industry

1999 - 2020

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Volume 36, issue 2, 2020

Foreword: Special issue on statistics in quality, industry, and technology pp. 223-224 Downloads
Joanne Wendelberger and Emmanuel Yashchin
Weak signal detection in SPC pp. 225-236 Downloads
Gejza Dohnal
Bayesian nonparametric estimation of first passage distributions in semi‐Markov processes pp. 237-250 Downloads
Richard L. Warr and Travis B. Woodfield
On designing experiments for a dynamic response modeled by regression splines pp. 251-267 Downloads
Rong Pan and Moein Saleh
Tolerance intervals for autoregressive models, with an application to hospital waiting lists pp. 268-282 Downloads
Kedai Cheng and Derek S. Young
On‐site surrogates for large‐scale calibration pp. 283-304 Downloads
Jiangeng Huang, Robert B. Gramacy, Mickaël Binois and Mirko Libraschi

Volume 36, issue 1, 2020

Foreword pp. 3-5 Downloads
Nicola Torelli and Grazia Vicario
A review of data science in business and industry and a future view pp. 6-18 Downloads
Grazia Vicario and Shirley Coleman
A review of data science in business and industry and a future view by G. Vicario and S. Coleman pp. 19-19 Downloads
Andrea Ahlemeyer‐Stubbe
Discussion of “A review of data science in business and industry and a future view” pp. 20-22 Downloads
A. John Bailer and Nicholas I. Fisher
Discussion of “A review of data science in business and industry and a future view” by Grazia Vicario and Shirley Coleman pp. 23-29 Downloads
Alberto Ferrer
A review of data science in business and industry and a future view by G. Vicario and S. Coleman pp. 30-32 Downloads
Ron S. Kenett
Discussion of “A review of data science in business and industry and a future view,” by Grazia Vicario and Shirley Coleman pp. 33-35 Downloads
Piercesare Secchi
Thoughts on Data Science in business and industry pp. 36-40 Downloads
David M. Steinberg and Eddie Aronovich
Discussion of “A review of data science in business and industry and a future view” pp. 41-42 Downloads
Nicola Torelli
Rejoinder to the discussion of “A review of data science in business and industry and a future view by G. Vicario and S. Coleman” pp. 43-48 Downloads
Grazia Vicario and Shirley Coleman
Radial basis neural tree model for improving waste recovery process in a paper industry pp. 49-61 Downloads
Tanujit Chakraborty, Swarup Chattopadhyay and Ashis Kumar Chakraborty
MCMC calibration of spot‐prices models in electricity markets pp. 62-76 Downloads
Alice Guerini, Andrea Marziali and Giuseppe De Nicolao
Nonparametric universal copula modeling pp. 77-94 Downloads
Subhadeep Mukhopadhyay and Emanuel Parzen
Vector error correction models to measure connectedness of Bitcoin exchange markets pp. 95-109 Downloads
Paolo Giudici and Paolo Pagnottoni
Predicting ships' CO2 emissions using feature‐oriented methods pp. 110-123 Downloads
Marco S. Reis, Ricardo Rendall, Biagio Palumbo, Antonio Lepore and Christian Capezza
Portfolio selection for individual passive investing pp. 124-142 Downloads
David Puelz, P. Richard Hahn and Carlos M. Carvalho
Foreword to Special Issue pp. 143-144 Downloads
Jaromír Antoch and Gejza Dohnal
Semiparametric spatio‐temporal analysis of regional GDP growth with respect to renewable energy consumption levels pp. 145-158 Downloads
Tomáš Formánek
Clustering electricity consumers using high‐dimensional regression mixture models pp. 159-177 Downloads
Emilie Devijver, Yannig Goude and Jean‐Michel Poggi
Novelty detection based on learning entropy pp. 178-183 Downloads
Gejza Dohnal and Ivo Bukovský
Semiparametric modeling of the spatiotemporal trends in natural gas consumption: Methodology, results, and consequences pp. 184-194 Downloads
Marek Brabec, Ondřej Konár, Ivan Kasanický, Marek Malý and Emil Pelikán
Deep learning for energy markets pp. 195-209 Downloads
Michael Polson and Vadim Sokolov
Copula‐based robust optimal block designs pp. 210-219 Downloads
A. Rappold, Werner Müller and D.C. Woods

Volume 35, issue 6, 2019

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations pp. 1301-1321 Downloads
Cathy W. S. Chen, Hong Than‐Thi, Mike K.P. So and Songsak Sriboonchitta
Parameter change test for location‐scale time series models with heteroscedasticity based on bootstrap pp. 1322-1343 Downloads
Haejune Oh and Sangyeol Lee
Stochastic modeling of quality of systems operating in a heterogeneous environment pp. 1344-1365 Downloads
Ji Hwan Cha and Maxim Finkelstein
An optimal switching approach toward cost‐effective control of a stand‐alone photovoltaic panel system under stochastic environment pp. 1366-1389 Downloads
Hidekazu Yoshioka, Zhi Li and Akira Yano
Cyber vulnerability maintenance policies that address the incomplete nature of inspection pp. 1390-1410 Downloads
Enhao Liu, Theodore T. Allen and Sayak Roychowdhury
Using degradation models to assess pipeline life pp. 1411-1430 Downloads
Qinglong Tian, Shiyao Liu and William Q. Meeker

Volume 35, issue 5, 2019

A machine learning approach for individual claims reserving in insurance pp. 1127-1155 Downloads
Maximilien Baudry and Christian Y. Robert
Volatility forecasting using stochastic conditional range model with leverage effect pp. 1156-1170 Downloads
Xinyu Wu and Haibin Xie
Mover‐stayer model with covariate effects on stayer's probability and mover's transitions pp. 1171-1184 Downloads
H. Frydman, A. Matuszyk, C. Li and W. Zhu
Hierarchical nonparametric survival modeling for demand forecasting with fragmented categorical covariates pp. 1185-1201 Downloads
Ta‐Hsin Li
Multifactor Heston's stochastic volatility model for European option pricing pp. 1202-1227 Downloads
Sotheara Veng, Ji‐Hun Yoon and Sun‐Yong Choi
Using mixture‐amount modeling to optimize the advertising media mix and quantify cross‐media synergy for specific target groups pp. 1228-1252 Downloads
Peter Goos, Nathalie Dens, Patrick De Pelsmacker and Leonids Aleksandrovs
Variable sampling interval Shewhart control charts for monitoring the multivariate coefficient of variation pp. 1253-1268 Downloads
Quoc Thong Nguyen, Kim Phuc Tran, Henri L. Heuchenne, Thi Hien Nguyen and Huu Du Nguyen
An algorithm to solve a quantile optimization problem with loss function having a separable structure, and its application to an aerospace problem pp. 1269-1281 Downloads
S.V. Ivanov, A.I. Kibzun and A.S. Stepanova
Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns pp. 1282-1297 Downloads
Stefano Peluso, Antonietta Mira and Pietro Muliere

Volume 35, issue 4, 2019

Probabilistic mean value theorems for conditioned random variables with applications pp. 923-938 Downloads
Antonio Di Crescenzo and Georgios Psarrakos
Optimal harvesting policy of an inland fishery resource under incomplete information pp. 939-962 Downloads
Hidekazu Yoshioka, Yuta Yaegashi, Yumi Yoshioka and Kentaro Tsugihashi
Log‐symmetric regression models: information criteria and application to movie business and industry data with economic implications pp. 963-977 Downloads
Marcelo Ventura, Helton Saulo, Victor Leiva and Sandro Eduardo Monsueto
Bayesian semiparametric Markov switching stochastic volatility model pp. 978-997 Downloads
Audrone Virbickaite and Hedibert F. Lopes
Reliability assessment for load‐sharing systems with exponential components using statistical expansion as a correction pp. 998-1010 Downloads
Jianyu Xu, Min Xie and Qingpei Hu
Statistical inference for coherent systems with Weibull distributed component lifetimes under complete and incomplete information pp. 1011-1027 Downloads
A. Jablonka, E. Cramer and M. Hermanns
Time series of functional data with application to yield curves pp. 1028-1043 Downloads
Rituparna Sen and Claudia Klüppelberg
Assessing some aspects of factor screening with nonnormal responses pp. 1044-1059 Downloads
Muhammad Azam Chaudhry and John Tyssedal
Multivariate asset‐pricing model based on subordinated stable processes pp. 1060-1076 Downloads
Vladimir Panov and Evgenii Samarin
Maintenance optimization for second‐hand products following periodic imperfect preventive maintenance warranty period pp. 1077-1089 Downloads
Jae‐Hak Lim, Dae‐Kyung Kim and Dong Ho Park
Profiting from correlations: Adjusted estimators for categorical data pp. 1090-1102 Downloads
Tobias Niebuhr and Mathias Trabs
Optimal inventory threshold for a dynamic service make‐to‐stock system with strategic customers pp. 1103-1123 Downloads
Xuelu Zhang and Jinting Wang
Editorial note pp. 1124-1124 Downloads
Fabrizio Ruggeri

Volume 35, issue 3, 2019

Special issue of ASMBI for GDDR 2017 pp. 398-398 Downloads
Antonio Pievatolo, David Ríos Insua and Simon Wilson
System reliability and component importance when components can be swapped upon failure pp. 399-413 Downloads
Aesha Najem and Frank P. A. Coolen
V@R representation theorems in ambiguous frameworks pp. 414-430 Downloads
Alejandro Balbás and Jean‐Philippe Charron
Large‐scale automated forecasting for network safety and security monitoring pp. 431-447 Downloads
Roi Naveiro, Simón Rodríguez and David Ríos Insua
Enterprise security economics: A self‐defense versus cyber‐insurance dilemma pp. 448-478 Downloads
Yosra Miaoui and Noureddine Boudriga
Assessing the effect of advertising expenditures upon sales: A Bayesian structural time series model pp. 479-491 Downloads
Víctor Gallego, Pablo Suárez‐García, Pablo Angulo and David Gómez‐Ullate
Allocation of a relevation in redundancy problems pp. 492-503 Downloads
Félix Belzunce, Carolina Martínez‐Riquelme and José M. Ruiz
Degradation modeling of 2 fatigue‐crack growth characteristics based on inverse Gaussian processes: A case study pp. 504-521 Downloads
Luis Alberto Rodríguez‐Picón, Anna Patricia Rodríguez‐Picón and Alejandro Alvarado‐Iniesta
New failure and minimal repair processes for repairable systems in a random environment pp. 522-536 Downloads
Ji Hwan Cha and Maxim Finkelstein
Bayesian planning of step‐stress accelerated degradation tests under various optimality criteria pp. 537-551 Downloads
Xiujie Zhao, Rong Pan and Min Xie
Assessing Markov property in multistate transition models with applications to credit risk modeling pp. 552-570 Downloads
Hanyu Yang, Vijayan N. Nair, Jie Chen and Agus Sudjianto
Nonparametric evaluation of the first passage time of degradation processes pp. 571-590 Downloads
Narayanaswamy Balakrishnan and Chengwei Qin
On fail‐safe systems under random shocks pp. 591-602 Downloads
Yiying Zhang, Ebrahim Amini‐Seresht and Peng Zhao
A combined filtering approach to high‐frequency volatility estimation with mixed‐type microstructure noises pp. 603-623 Downloads
Yinfen Tang and Zhiyuan Zhang
A Bayesian two‐armed bandit model pp. 624-636 Downloads
Xikui Wang, You Liang and Lysa Porth
A bivariate optimal replacement policy for a system subject to a generalized failure and repair process pp. 637-650 Downloads
Hyunju Lee and Ji Hwan Cha
Control charts with random interarrival times between successive samplings pp. 651-670 Downloads
Markos V. Koutras and Athanasios C. Rakitzis
Efficiency consideration of generalized age replacement policy pp. 671-680 Downloads
Minjae Park, Ki Mun Jung, Jennifer Jae‐Young Kim and Dong Ho Park
Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events pp. 681-703 Downloads
Daniel Wei‐Chung Miao, Xenos Chang‐Shuo Lin, Steve Hsin‐Ting Yu and Yung‐Hsin Lee
Mean‐variance hedging with basis risk pp. 704-716 Downloads
Xiaole Xue, Jingong Zhang and Chengguo Weng
Bayesian l0‐regularized least squares pp. 717-731 Downloads
Nicholas G. Polson and Lei Sun
Closed‐form approximations for spread options in Lévy markets pp. 732-746 Downloads
Jente Van Belle, Steven Vanduffel and Jing Yao
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility pp. 747-765 Downloads
Cathy W. S. Chen and Toshiaki Watanabe
Bayesian statistical process control for Phase I count type data pp. 766-787 Downloads
Panagiotis Tsiamyrtzis and Douglas M. Hawkins
Deep learning for spatio‐temporal modeling: Dynamic traffic flows and high frequency trading pp. 788-807 Downloads
Matthew F. Dixon, Nicholas G. Polson and Vadim O. Sokolov
Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals pp. 808-822 Downloads
Nuttanan Wichitaksorn, Richard Gerlach and S.T. Boris Choy
A new multivariate variability control chart based on a covariance matrix combination pp. 823-836 Downloads
Jose Luis Alfaro and Juan Fco. Ortega
Detecting change points in the stress‐strength reliability P(X pp. 837-857 Downloads
Hang Xu, Philip L.H. Yu and Mayer Alvo
The maximum surplus in a finite‐time interval for a discrete‐time risk model with exchangeable, dependent claim occurrences pp. 858-870 Downloads
Omer L. Gebizlioglu and Serkan Eryilmaz
Inactivity times of coherent systems with dependent components under periodical inspections pp. 871-892 Downloads
Jorge Navarro and Camilla Calì
Economic design of an attribute control chart for monitoring mean life based on multiple deferred state sampling pp. 893-907 Downloads
S. Balamurali and P. Jeyadurga
Preventive maintenance for homogeneous and heterogeneous systems pp. 908-920 Downloads
Maxim Finkelstein and Gregory Levitin

Volume 35, issue 2, 2019

Special issue of ASMBI dedicated to the 10th International Conference on Mathematical Methods in Reliability (MMR 2017) pp. 156-157 Downloads
Olivier Gaudoin and Bo H. Lindqvist
Reliability, signature, and relative quality functions of systems under time‐homogeneous load‐sharing models pp. 158-176 Downloads
Fabio L. Spizzichino
Findings about the BMMPP for modeling dependent and simultaneous data in reliability and queueing systems pp. 177-190 Downloads
Yoel G. Yera, Rosa E. Lillo and Pepa Ramírez‐Cobo
On the reliability function of a double redundant system with general repair time distribution pp. 191-197 Downloads
Vladimir Rykov and Dmitry Kozyrev
A perturbed gamma degradation process with degradation dependent non‐Gaussian measurement errors pp. 198-210 Downloads
Massimiliano Giorgio, Agostino Mele and Gianpaolo Pulcini
Imperfect repair in degradation processes: A Kijima‐type approach pp. 211-220 Downloads
Waltraud Kahle
A parametric lifetime model for a multicomponents system with spatial interactions pp. 221-233 Downloads
F. Corset, M. Fouladirad, C. Paroissin and E. Remy
Bayesian analysis for step‐stress accelerated life testing under progressive interval censoring pp. 234-246 Downloads
Christian Kohl and Maria Kateri
Tests for specific nonparametric relations between two distribution functions with applications pp. 247-259 Downloads
Deshpande Jv, Isha Dewan, Lam Kf and Naik‐Nimbalkar Uv
Is reliability a new science? A paper from the panel session held at the 10th International Conference on Mathematical Methods in Reliability pp. 260-269 Downloads
Nozer D. Singpurwalla, Vitali Volovoi, Mark Brown, Erol A. Peköz, Sheldon M. Ross and William Q. Meeker
Discussion of “Is reliability a new science?” pp. 270-271 Downloads
Christine M. Anderson‐Cook
Contribution to panel discussion pp. 272-273 Downloads
Jerald F. Lawless
Is reliability a new science? pp. 274-274 Downloads
Bent Natvig
Reliability is a science: A philosophical analysis of its validity pp. 275-277 Downloads
Jiutong Zhang, Qingyuan Zhang and Rui Kang
Reliability is a new science: Gnedenko was right pp. 278-278 Downloads
Vladimir Rykov
Rejoinder to the discussions pp. 279-280 Downloads
Nozer D. Singpurwalla and Boya Lai
Preface pp. 281-282 Downloads
S. Ejaz Ahmed
Weak signals in high‐dimensional regression: Detection, estimation and prediction pp. 283-298 Downloads
Yanming Li, Hyokyoung G. Hong, S. Ejaz Ahmed and Yi Li
Change points in heavy‐tailed multivariate time series: Methods using precision matrices pp. 299-320 Downloads
Ivor Cribben
Nonlocal spatial clustering in automated brain hematoma and edema segmentation pp. 321-329 Downloads
Wei Tu, Linglong Kong, Rohana Karunamuni, Ken Butcher, Lili Zheng and Rebecca McCourt
Likelihood adaptively modified penalties pp. 330-353 Downloads
Yang Feng, Tengfei Li and Zhiliang Ying
Integrative interaction analysis using threshold gradient directed regularization pp. 354-375 Downloads
Yang Li, Rong Li, Yichen Qin, Mengyun Wu and Shuangge Ma
Mode hunting through active information pp. 376-393 Downloads
Daniel Andrés Díaz‐Pachón, Juan Pablo Sáenz, J. Sunil Rao and Jean‐Eudes Dazard

Volume 35, issue 1, 2019

Birnbaum‐Saunders distribution: A review of models, analysis, and applications pp. 4-49 Downloads
N. Balakrishnan and Debasis Kundu
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 50-53 Downloads
Anthony F. Desmond
Discussion of the “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 54-55 Downloads
A. Wong
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 56-60 Downloads
Artur J. Lemonte and Gauss M. Cordeiro
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” by N. Balakrishnan and Debasis Kundu pp. 61-63 Downloads
Biswabrata Pradhan
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 64-71 Downloads
Hon Keung Tony Ng
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis and applications” pp. 72-76 Downloads
Longxiang Fang and Xiaojun Zhu
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 77-81 Downloads
Isha Dewan and Swagata Nandi
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 82-89 Downloads
Ahad Jamalizadeh, Farzane Hashemi and Mehrdad Naderi
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” and a novel financial extreme value data analytics from natural disasters pp. 90-95 Downloads
Víctor Leiva, Camilo Lillo, M. Ivette Gomes and Marta Ferreira
Discussion of “Birnbaum‐Saunders distributions: A review of models, analysis and applications” pp. 96-99 Downloads
Michelli Barros and Gilberto A. Paula
Discussion of Birnbaum‐Saunders distribution: A review of models, analysis, and applications pp. 100-103 Downloads
Filidor Vilca
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” by N. Balakrishnan and D. Kundu pp. 104-109 Downloads
José A. Díaz‐García and Francisco J. Caro‐Lopera
Discussion of Birnbaum‐Saunders distribution: A review of models, analysis, and applications pp. 110-111 Downloads
Ramesh C. Gupta
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” and a novel multivariate data analytics for an economics example in the textile industry pp. 112-117 Downloads
Víctor Leiva, Robert G. Aykroyd and Carolina Marchant
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” by N. Balakrishnan and Debasis Kundu pp. 118-121 Downloads
Helton Saulo, Jeremias Leão and Manoel Santos‐Neto
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 122-125 Downloads
Shuangzhe Liu and Tiefeng Ma
Authors' Rejoinder pp. 126-132 Downloads
Narayanaswamy Balakrishnan and Debasis Kundu
An interview with Sam C. Saunders pp. 133-137 Downloads
Víctor Leiva
Good and bad market research: A critical review of Net Promoter Score pp. 138-151 Downloads
Nicholas I. Fisher and Raymond E. Kordupleski
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