Applied Stochastic Models in Business and Industry

1999 - 2021

From John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 35, issue 6, 2019

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations pp. 1301-1321

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

Haejune Oh and Sangyeol Lee

Stochastic modeling of quality of systems operating in a heterogeneous environment pp. 1344-1365

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

Hidekazu Yoshioka, Zhi Li and Akira Yano

Cyber vulnerability maintenance policies that address the incomplete nature of inspection pp. 1390-1410

Enhao Liu, Theodore T. Allen and Sayak Roychowdhury

Using degradation models to assess pipeline life pp. 1411-1430

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

Maximilien Baudry and Christian Y. Robert

Volatility forecasting using stochastic conditional range model with leverage effect pp. 1156-1170

Xinyu Wu and Haibin Xie

Mover‐stayer model with covariate effects on stayer's probability and mover's transitions pp. 1171-1184

H. Frydman, A. Matuszyk, C. Li and W. Zhu

Hierarchical nonparametric survival modeling for demand forecasting with fragmented categorical covariates pp. 1185-1201

Ta‐Hsin Li

Multifactor Heston's stochastic volatility model for European option pricing pp. 1202-1227

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

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

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

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

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

Antonio Di Crescenzo and Georgios Psarrakos

Optimal harvesting policy of an inland fishery resource under incomplete information pp. 939-962

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

Marcelo Ventura, Helton Saulo, Victor Leiva and Sandro Eduardo Monsueto

Bayesian semiparametric Markov switching stochastic volatility model pp. 978-997

Audrone Virbickaite and Hedibert F. Lopes

Reliability assessment for load‐sharing systems with exponential components using statistical expansion as a correction pp. 998-1010

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

A. Jablonka, E. Cramer and M. Hermanns

Time series of functional data with application to yield curves pp. 1028-1043

Rituparna Sen and Claudia Klüppelberg

Assessing some aspects of factor screening with nonnormal responses pp. 1044-1059

Muhammad Azam Chaudhry and John Tyssedal

Multivariate asset‐pricing model based on subordinated stable processes pp. 1060-1076

Vladimir Panov and Evgenii Samarin

Maintenance optimization for second‐hand products following periodic imperfect preventive maintenance warranty period pp. 1077-1089

Jae‐Hak Lim, Dae‐Kyung Kim and Dong Ho Park

Profiting from correlations: Adjusted estimators for categorical data pp. 1090-1102

Tobias Niebuhr and Mathias Trabs

Optimal inventory threshold for a dynamic service make‐to‐stock system with strategic customers pp. 1103-1123

Xuelu Zhang and Jinting Wang

Editorial note pp. 1124-1124

Fabrizio Ruggeri

Volume 35, issue 3, 2019

Special issue of ASMBI for GDDR 2017 pp. 398-398

Antonio Pievatolo, David Ríos Insua and Simon Wilson

System reliability and component importance when components can be swapped upon failure pp. 399-413

Aesha Najem and Frank P. A. Coolen

V@R representation theorems in ambiguous frameworks pp. 414-430

Alejandro Balbás and Jean‐Philippe Charron

Large‐scale automated forecasting for network safety and security monitoring pp. 431-447

Roi Naveiro, Simón Rodríguez and David Ríos Insua

Enterprise security economics: A self‐defense versus cyber‐insurance dilemma pp. 448-478

Yosra Miaoui and Noureddine Boudriga

Assessing the effect of advertising expenditures upon sales: A Bayesian structural time series model pp. 479-491

Víctor Gallego, Pablo Suárez‐García, Pablo Angulo and David Gómez‐Ullate

Allocation of a relevation in redundancy problems pp. 492-503

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

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

Ji Hwan Cha and Maxim Finkelstein

Bayesian planning of step‐stress accelerated degradation tests under various optimality criteria pp. 537-551

Xiujie Zhao, Rong Pan and Min Xie

Assessing Markov property in multistate transition models with applications to credit risk modeling pp. 552-570

Hanyu Yang, Vijayan N. Nair, Jie Chen and Agus Sudjianto

Nonparametric evaluation of the first passage time of degradation processes pp. 571-590

Narayanaswamy Balakrishnan and Chengwei Qin

On fail‐safe systems under random shocks pp. 591-602

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

Yinfen Tang and Zhiyuan Zhang

A Bayesian two‐armed bandit model pp. 624-636

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

Hyunju Lee and Ji Hwan Cha

Control charts with random interarrival times between successive samplings pp. 651-670

Markos V. Koutras and Athanasios C. Rakitzis

Efficiency consideration of generalized age replacement policy pp. 671-680

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

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

Xiaole Xue, Jingong Zhang and Chengguo Weng

Bayesian l0‐regularized least squares pp. 717-731

Nicholas G. Polson and Lei Sun

Closed‐form approximations for spread options in Lévy markets pp. 732-746

Jente Van Belle, Steven Vanduffel and Jing Yao

Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility pp. 747-765

Cathy W. S. Chen and Toshiaki Watanabe

Bayesian statistical process control for Phase I count type data pp. 766-787

Panagiotis Tsiamyrtzis and Douglas M. Hawkins

Deep learning for spatio‐temporal modeling: Dynamic traffic flows and high frequency trading pp. 788-807

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

Nuttanan Wichitaksorn, Richard Gerlach and S.T. Boris Choy

A new multivariate variability control chart based on a covariance matrix combination pp. 823-836

Jose Luis Alfaro and Juan Fco. Ortega

Detecting change points in the stress‐strength reliability P(X pp. 837-857

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

Omer L. Gebizlioglu and Serkan Eryilmaz

Inactivity times of coherent systems with dependent components under periodical inspections pp. 871-892

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

S. Balamurali and P. Jeyadurga

Preventive maintenance for homogeneous and heterogeneous systems pp. 908-920

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

Olivier Gaudoin and Bo H. Lindqvist

Reliability, signature, and relative quality functions of systems under time‐homogeneous load‐sharing models pp. 158-176

Fabio L. Spizzichino

Findings about the BMMPP for modeling dependent and simultaneous data in reliability and queueing systems pp. 177-190

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

Vladimir Rykov and Dmitry Kozyrev

A perturbed gamma degradation process with degradation dependent non‐Gaussian measurement errors pp. 198-210

Massimiliano Giorgio, Agostino Mele and Gianpaolo Pulcini

Imperfect repair in degradation processes: A Kijima‐type approach pp. 211-220

Waltraud Kahle

A parametric lifetime model for a multicomponents system with spatial interactions pp. 221-233

F. Corset, M. Fouladirad, C. Paroissin and E. Remy

Bayesian analysis for step‐stress accelerated life testing under progressive interval censoring pp. 234-246

Christian Kohl and Maria Kateri

Tests for specific nonparametric relations between two distribution functions with applications pp. 247-259

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

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

Christine M. Anderson‐Cook

Contribution to panel discussion pp. 272-273

Jerald F. Lawless

Is reliability a new science? pp. 274-274

Bent Natvig

Reliability is a science: A philosophical analysis of its validity pp. 275-277

Jiutong Zhang, Qingyuan Zhang and Rui Kang

Reliability is a new science: Gnedenko was right pp. 278-278

Vladimir Rykov

Rejoinder to the discussions pp. 279-280

Nozer D. Singpurwalla and Boya Lai

Preface pp. 281-282

S. Ejaz Ahmed

Weak signals in high‐dimensional regression: Detection, estimation and prediction pp. 283-298

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

Ivor Cribben

Nonlocal spatial clustering in automated brain hematoma and edema segmentation pp. 321-329

Wei Tu, Linglong Kong, Rohana Karunamuni, Ken Butcher, Lili Zheng and Rebecca McCourt

Likelihood adaptively modified penalties pp. 330-353

Yang Feng, Tengfei Li and Zhiliang Ying

Integrative interaction analysis using threshold gradient directed regularization pp. 354-375

Yang Li, Rong Li, Yichen Qin, Mengyun Wu and Shuangge Ma

Mode hunting through active information pp. 376-393

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

N. Balakrishnan and Debasis Kundu

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 50-53

Anthony F. Desmond

Discussion of the “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 54-55

A. Wong

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 56-60

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

Biswabrata Pradhan

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 64-71

Hon Keung Tony Ng

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis and applications” pp. 72-76

Longxiang Fang and Xiaojun Zhu

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 77-81

Isha Dewan and Swagata Nandi

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 82-89

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

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

Michelli Barros and Gilberto A. Paula

Discussion of Birnbaum‐Saunders distribution: A review of models, analysis, and applications pp. 100-103

Filidor Vilca

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” by N. Balakrishnan and D. Kundu pp. 104-109

José A. Díaz‐García and Francisco J. Caro‐Lopera

Discussion of Birnbaum‐Saunders distribution: A review of models, analysis, and applications pp. 110-111

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

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

Helton Saulo, Jeremias Leão and Manoel Santos‐Neto

Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” pp. 122-125

Shuangzhe Liu and Tiefeng Ma

Authors' Rejoinder pp. 126-132

Narayanaswamy Balakrishnan and Debasis Kundu

An interview with Sam C. Saunders pp. 133-137

Víctor Leiva

Good and bad market research: A critical review of Net Promoter Score pp. 138-151

Nicholas I. Fisher and Raymond E. Kordupleski