Applied Stochastic Models in Business and Industry

1999 - 2021

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Volume 28, issue 6, 2012

An approach for identifying and predicting economic recessions in real‐time using time–frequency functional models pp. 485-499

Scott H. Holan, Wen‐Hsi Yang, David S. Matteson and Christopher K. Wikle

Discussion of “An approach for identifying and predicting economic recessions in real‐time using time‐frequency functional models”by Holan, Yang, Matteson, and Wikle pp. 500-501

Eric Ghysels and Michael Owyang

Discussion on an approach for identifying and predicting economic recessions in real‐time using time‐frequency functional models pp. 502-503

Katherine B. Ensor

Rejoinder – An approach for identifying and predicting economic recessions in real‐time using time–frequency functional models pp. 504-505

Scott H. Holan, Wen‐Hsi Yang, Christopher K. Wikle and David S. Matteson

Optimal investment and reinsurance policies in insurance markets under the effect of inside information pp. 506-528

I.D. Baltas, N.E. Frangos and A.N. Yannacopoulos

Estimating intermediate price transitions in online auctions pp. 529-541

Fredrik Ødegaard and Martin L. Puterman

Estimating production test properties from test measurement data pp. 542-557

Simon P. Wilson and Suresh Goyal

Restricted Kalman filter applied to dynamic style analysis of actuarial funds pp. 558-570

Reinaldo Marques, Adrian Pizzinga and Luciano Vereda

Bayesian hierarchical models to analyze customer satisfaction data for quality improvement: a case study pp. 571-584

Mauro Gasparini, Franco Pellerey and Mauro Proietti

Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model pp. 585-597

Zhibin Liang, Kam Chuen Yuen and Ka Chun Cheung

Some properties of the bivariate lognormal distribution for reliability applications pp. 598-606

Pushpa L. Gupta and Ramesh C. Gupta

Optimal maintenance strategy for non‐renewing replacement–repair warranty pp. 607-614

Ki Mun Jung, Minjae Park and Dong Ho Park

Volume 28, issue 5, 2012

Hierarchical Bayesian autoregressive models for large space–time data with applications to ozone concentration modelling pp. 395-415

Sujit Kumar Sahu and Khandoker Shuvo Bakar

Discussions on ‘Hierarchical Bayesian auto‐regressive models for large space time data with applications to ozone concentration modelling’ by S. K. Sahu and K. S. Bakar pp. 416-416

Debasis Kundu

Discussion on ‘Hierarchical Bayesian auto‐regressive models for large space time data with applications to ozone concentration modelling’ by Sujit Kumar Sahu and Khandoker Shuvo Bakar pp. 417-417

Ashis Sengupta

Joint distributions of some actuarial random vectors for the Cox risk model pp. 420-429

Lin Xu, Wang Rongming and Yao Dingjun

A Bayesian approach to term structure modeling using heavy‐tailed distributions pp. 430-447

Carlos Antonio Abanto‐Valle, Victor H. Lachos and Pulak Ghosh

A Bayesian approach to vectorization of object boundaries from digital images and to geometrical uncertainty assessment pp. 448-466

Francesco Finazzi

New multivariate orderings based on conditional distributions pp. 467-484

Félix Belzunce, Julio Mulero, José M. Ruiz and Alfonso Suárez‐Llorens

Volume 28, issue 4, 2012

Real‐time road traffic forecasting using regime‐switching space‐time models and adaptive LASSO pp. 297-315

Yiannis Kamarianakis, Wei Shen and Laura Wynter

Discussion pp. 316-318

Matthew G. Karlaftis

‘Real‐time road traffic forecasting using regime‐switching space‐time models and adaptive lasso’ by Y. Kamarianakis, W. Shen, and L. Wynter pp. 319-321

Billy M. Williams

Rejoinder: real‐time road traffic forecasting using regime‐switching space–time models and adaptive lasso pp. 322-323

Yiannis Kamarianakis, Wei Shen and Laura Wynter

A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options pp. 324-341

Yansheng Ma and Yong Li

Test for dispersion constancy in stochastic differential equation models pp. 342-353

Sangyeol Lee and Meihui Guo

How to choose the simulation model for computer experiments: a local approach pp. 354-361

Thomas Mühlenstädt, Marco Gösling and Sonja Kuhnt

Full and 1‐year runoff risk in the credibility‐based additive loss reserving method pp. 362-380

Michael Merz and Mario V. Wüthrich

Preservation of reliability classes associated with the mean residual life by a renewal process stopped at a random time pp. 381-394

F.G. Badía and E.T. Salehi

Volume 28, issue 3, 2012

Liquidity, risk, and return: specifying an objective function for the management of foreign reserves pp. 175-193

Yuliya Romanyuk

A robust analysis of unreplicated factorials pp. 194-205

Víctor Aguirre‐Torres and Román de la Vara

A case study to demonstrate a Pareto Frontier for selecting a best response surface design while simultaneously optimizing multiple criteria pp. 206-221

Lu Lu, Christine M. Anderson‐Cook and Timothy J. Robinson

Extrinsic analysis on manifolds is computationally faster than intrinsic analysis with applications to quality control by machine vision pp. 222-235

R. N. Bhattacharya, L. Ellingson, X. Liu, V. Patrangenaru and M. Crane

L1 penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors pp. 236-250

Saber Fallahpour, S. Ejaz Ahmed and Kjell A. Doksum

A Laplacian spectral method in phase I analysis of profiles pp. 251-263

Francisco Moura Neto and Maysa S. De Magalhães

Dominance and innovation: a returns‐based beliefs approach pp. 264-281

Chander Velu, Sriya Iyer and Jonathan R. Gair

Business indicators of healthcare quality: Outlier detection in small samples pp. 282-295

Gaj Vidmar, Rok Blagus, Luboš Střelec and Milan Stehlík

Volume 28, issue 2, 2012

Special issue on statistics in quality, industry, and technology pp. 103-103

William F. Guthrie and Emmanuel Yashchin

The COM‐Poisson model for count data: a survey of methods and applications pp. 104-116

Kimberly F. Sellers, Sharad Borle and Galit Shmueli

‘The COM‐Poisson model for count data: a survey of methods and applications’ by K. Sellers, S. Borle and G. Shmueli pp. 117-121

Ron Kenett

The Conway–Maxwell–Poisson model for analyzing crash data pp. 122-127

Dominique Lord and Seth D. Guikema

Rejoinder: The COM‐Poisson Model for count data: A survey of methods and applications pp. 128-129

Kimberly F. Sellers, Sharad Borle and Galit Shmueli

Two simple Shewhart‐type multivariate nonparametric control charts pp. 130-140

J. M. Boone and S. Chakraborti

Prognostic models based on statistical flowgraphs pp. 141-151

David H. Collins and Aparna V. Huzurbazar

Pareto charting using multifield freestyle text data applied to Toyota Camry user reviews pp. 152-163

Theodore T. Allen and Hui Xiong

A robust treatment of a dose–response study pp. 164-173

Douglas P. Wiens and Pengfei Li

Volume 28, issue 1, 2012

Optimal portfolio choice and stochastic volatility pp. 1-15

Anne Gron, Bjørn Jørgensen and Nicholas G. Polson

Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance pp. 16-34

Gilberto A. Paula, Víctor Leiva, Michelli Barros and Shuangzhe Liu

American option prices in a Markov chain market model pp. 35-59

John van der Hoek and Robert J. Elliott

Asset allocation under threshold autoregressive models pp. 60-72

Na Song, Tak Kuen Siu, Wa‐Ki Ching, Howell Tong and Hailiang Yang

Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model pp. 73-90

Lanpeng Ji and Chunsheng Zhang

On generating multivariate Poisson data in management science applications pp. 91-102

Inbal Yahav and Galit Shmueli