Applied Stochastic Models in Business and Industry

1999 - 2021

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Volume 32, issue 6, 2016

Pricing Asian options of discretely monitored geometric average in the regime‐switching model pp. 743-752

Jerim Kim, Hyun Joo Yoo and Tae‐Wan Kim

Multi‐period mean variance portfolio selection under incomplete information pp. 753-774

Ling Zhang, Zhongfei Li, Yunhui Xu and Yongwu Li

Optimal scheduling of inspection times in a production process with a finite planning horizon pp. 775-791

Honest Chipoyera

Wood property relationships and survival models in reliability pp. 792-803

Yan Cheng, Lang Wu, Conroy Lum, Jim Zidek and Tingting Yu

The Heston model with stochastic elasticity of variance pp. 804-824

Sun‐Yong Choi, Jeong‐Hoon Kim and Ji‐Hun Yoon

An ideal way of obtaining an optimal inspection permutation for a system with components connected in series pp. 825-835

Honest Walter Chipoyera

Model selection of a switching mechanism for financial time series pp. 836-851

Buu‐Chau Truong, Cathy W. S. Chen and Mike K. P. So

Security design and firm dynamics under long‐term moral hazard pp. 852-869

Alexandre Messa

The efficiency of CUSUM schemes for monitoring the coefficient of variation pp. 870-881

Phuong Hanh Tran and Kim Phuc Tran

Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk pp. 882-908

Qifa Xu, Xi Liu, Cuixia Jiang and Keming Yu

Volume 32, issue 5, 2016

Special Issue on Statistics in Quality Control pp. 557-557

Diane Michelson and Emmanuel Yashchin

On the conditional in‐control ARL of a CUSUM statistic pp. 558-564

Daniel R. Jeske

A note on efficient performance evaluation of the Cumulative Sum chart and the Sequential Probability Ratio Test pp. 565-573

Aleksey S. Polunchenko

Uniform sliced Latin hypercube designs pp. 574-584

Hao Chen, Hengzhen Huang, Dennis K. J. Lin and Min‐Qian Liu

Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements pp. 585-606

Monika Bi, Marcos Escobar Anel, Barbara Goetz and Rudi Zagst

Allocating active redundancies to k‐out‐of‐n reliability systems with permutation monotone component lifetimes pp. 607-620

Yinping You, Rui Fang and Xiaohu Li

Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models pp. 621-638

Carlos Almeida, Claudia Czado and Hans Manner

Connecting rating migration matrices and the business cycle by means of generalized regression models pp. 639-647

Marius Pfeuffer and Matthias Fischer

Optimizing a blend of a mixture slurry in chemical mechanical planarization for advanced semiconductor manufacturing using a posterior preference articulation approach to dual response surface optimization pp. 648-659

Jihoon Seo, Dong‐Hee Lee, Kangchun Lee, Kijung Kim and Kwang‐Jae Kim

On data depth and the application of nonparametric multivariate statistical process control charts pp. 660-676

Suk Joo Bae, Giang Do and Paul Kvam

Partially observed competing degradation processes: modeling and inference pp. 677-696

Laurent Bordes, Sophie Mercier, Emmanuel Remy and Emilie Dautrême

The progressive censoring signature of coherent systems pp. 697-710

Erhard Cramer and Jorge Navarro

Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques pp. 711-724

Luis A. Gil‐Alana, Olaoluwa Yaya and Enitan A. Solademi

A reduced‐form model for pricing defaultable bonds and credit default swaps with stochastic recovery pp. 725-739

Jian Pan and Qingxian Xiao

Volume 32, issue 4, 2016

On the Modeling of CO2 EUA and CER Prices of EU‐ETS for the 2008–2012 Period pp. 375-395

Ülkü Gürler, Deniz Yenigün, Mine Çağlar and Emre Berk

An optimality model for rust formation and evolution pp. 396-408

Bader Alshamary and Ovidiu Calin

Network analysis: Understanding consumers' choice in the film industry and predicting pre‐released weekly box‐office revenue pp. 409-422

Inbal Yahav

Distribution‐free precedence control charts with improved runs‐rules pp. 423-439

J.‐C. Malela‐Majika, S. Chakraborti and M. A. Graham

Bayesian analysis of definitive screening designs when the response is nonnormal pp. 440-452

Víctor M. Aguirre

The Pathmox approach for PLS path modeling segmentation pp. 453-468

Giuseppe Lamberti, Tomas Banet Aluja and Gaston Sanchez

Compressed limit sampling inspection plans for food safety pp. 469-484

Edgar Santos‐Fernández, Govindaraju Kondaswamy and Geoff Jones

A dynamic unreliability assessment and optimal maintenance strategies for multistate weighted k‐out‐of‐n:F systems pp. 485-493

Hadi Akbarzade Khorshidi, Indra Gunawan and Yousef Ibrahim

Bayesian prediction of crack growth based on a hierarchical diffusion model pp. 494-510

Simone Hermann, Katja Ickstadt and Christine H. Müller

An information‐based burn‐in procedure for minimally repaired items from mixed population pp. 511-525

Ji Hwan Cha and F. G. Badía

Usual and stochastic tail orders between hitting times for two Markov chains pp. 526-538

Emilio De Santis and Fabio Spizzichino

Modeling and analysis of a warranty policy using new and reconditioned parts pp. 539-553

Navin Chari, Claver Diallo, Uday Venkatadri and Abdelhakim Khatab

Volume 32, issue 3, 2016

A special issue on: Bayesian statistics and machine learning in business pp. 309-310

Hongxia Yang

Dynamic dependence networks: Financial time series forecasting and portfolio decisions pp. 311-332

Zoey Yi Zhao, Meng Xie and Mike West

Discussion of ‘Dynamic dependence networks: financial time series forecasting and portfolio decisions’ pp. 333-333

J. R. M. Hosking

Discussion of ‘Dynamic dependence networks: financial time series forecasting and portfolio decisions’ pp. 334-335

Steven L Scott

Rejoinder to ‘Dynamic dependence networks: Financial time series forecasting and portfolio decisions’ pp. 336-339

Zoey Zhao, Meng Xie and Mike West

Estimating rates of rare events through a multidimensional dynamic hierarchical Bayesian framework pp. 340-353

Hongxia Yang, Robert Ormandi, Han‐Yun Tsao and Quan Lu

Discussion of ‘Estimating rates of rare events through a multidimensional dynamic hierarchical Bayesian framework’ pp. 354-355

Liang Zhang

Discussion of ‘Estimating rates of rare events through a multidimensional dynamic hierarchical Bayesian framework’ pp. 356-356

Kuang‐chih Lee

Rejoinder to ‘Estimating rates of rare events through a multidimensional dynamic hierarchical Bayesian framework’ pp. 357-357

Hongxia Yang, Robert Ormandi, Han‐Yun Tsao and Quan Lu

Reinforcement learning behaviors in sponsored search pp. 358-367

Wei Chen, Tie‐Yan Liu and Xinxin Yang

Discussion of ‘Reinforcement learning behaviors in sponsored search’ pp. 368-368

Jingrui He

Discussion of ‘Reinforcement learning behaviors in sponsored search’ pp. 369-370

Yada Zhu

Rejoinder to ‘Reinforcement learning behaviors in sponsored search’ pp. 371-372

Wei Chen, Tie‐Yan Liu and Xinxin Yang

Volume 32, issue 2, 2016

Nonlinear general path models for degradation data with dynamic covariates pp. 153-167

Zhibing Xu, Yili Hong and Ran Jin

Pricing VIX options in a stochastic vol‐of‐vol model pp. 168-183

Chengxiang Wang, Wenli Huang, Shenghong Li and Qunfang Bao

Optimal replacement and allocation of multi‐state elements in k‐within‐m‐from‐r/n sliding window systems pp. 184-198

Hui Xiao, Rui Peng and Gregory Levitin

Optimal redundancy allocation problems in engineering systems with dependent component lifetimes pp. 199-208

Hamideh Jeddi and Mahdi Doostparast

A random forest application to contact‐state classification for robot programming by human demonstration pp. 209-227

S. Cabras, M. E. Castellanos and E. Staffetti

Simple outlier labeling based on quantile regression, with application to the steelmaking process pp. 228-242

Ruggero Bellio and Mauro Coletto

Minimization of risks in defined benefit pension plan with time‐inconsistent preferences pp. 243-258

Qian Zhao, Rongming Wang and Jiaqin Wei

Modeling short‐term post‐offering price–volume relationships using Bayesian change‐point panel quantile regression pp. 259-272

Xinyu Wang, Yuandi Wang, Deqing Wang and Xiangling Liu

Pairwise likelihood inference for multivariate ordinal responses with applications to customer satisfaction pp. 273-282

Euloge Clovis Kenne Pagui and Antonio Canale

Preventive maintenance of multistate systems subject to shocks pp. 283-291

Maxim Finkelstein and Ilya Gertsbakh

On a new multivariate IFR ageing notion based on the standard construction pp. 292-306

A. Arriaza, F. Belzunce, J. Mulero and A. Suárez‐Llorens

Volume 32, issue 1, 2016

Construction of efficient experimental designs under multiple resource constraints pp. 3-17

Radoslav Harman, Alena Bachratá and Lenka Filová

Estimating structural credit risk models when market prices are contaminated with noise pp. 18-32

Tae Yeon Kwon*†‡ and Yoonjung Lee

Comparisons in the mean residual life order of coherent systems with identically distributed components pp. 33-47

Jorge Navarro and M. Carmen Gomis

Different weights of tests within a start‐up demonstration procedure pp. 48-56

Amos E. Gera

A directed topic model applied to call center improvement pp. 57-73

Theodore T. Allen, Hui Xiong and Anthony Afful‐Dadzie

A methodology for stochastic inventory models based on a zero‐adjusted Birnbaum‐Saunders distribution pp. 74-89

Víctor Leiva, Manoel Santos‐Neto, Francisco José A. Cysneiros and Michelli Barros

A methodology for integrated critical spare parts and insurance management pp. 90-98

Alejandro Martínez, R. Pascual and Sergio Maturana

A novel approach to safety stock management in a coordinated supply chain with controllable lead time using present value pp. 99-112

Marcello Braglia, Davide Castellano and Marco Frosolini

Capital adequacy and risk management in banking industry pp. 113-132

Fatma Chakroun and Fathi Abid

A computer‐aided methodology for the optimization of electrostatic separation processes in recycling pp. 133-148

Matteo Borrotti, Antonio Pievatolo, Ida Critelli, Andrea Degiorgi and Marcello Colledani