Related papers: The Burst Failure Influence on the $H_\infty$ Norm
Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for operational risk for a broad range of distribution…
Forecasting the imminent catastrophic failure has a high importance for a large variety of systems from the collapse of engineering constructions, through the emergence of landslides and earthquakes, to volcanic eruptions. Failure forecast…
Adding perforations to a continuum sheet allows new modes of deformation, and thus modifies its elastic behavior. The failure behavior of such a perforated sheet is explored, using a model experimental system: a material containing a…
The effect of additive white noise on a model for bursting behavior in large aspect-ratio binary fluid convection is considered. Such bursts are present in systems with nearly square symmetry and are the result of heteroclinic cycles…
Temporal inhomogeneities in event sequences of natural and social phenomena have been characterized in terms of interevent times and correlations between interevent times. The inhomogeneities of interevent times have been extensively…
The likelihood ratio test (LRT) and the related $F$ test, do not (even asymptotically) adhere to their nominal $\chi^2$ and $F$ distributions in many statistical tests common in astrophysics, thereby casting many marginal line or source…
In a $\delta-$shock model, a system subject to randomly occurring shocks, the system fails when the time between two successive shocks lies below a threshold $\delta$. In this note, we study the generalization of this model where such…
A central problem in Binary Hypothesis Testing (BHT) is to determine the optimal tradeoff between the Type I error (referred to as false alarm) and Type II (referred to as miss) error. In this context, the exponential rate of convergence of…
The statistical properties of failure are studied in a fiber bundle model with thermal noise. We show that the macroscopic failure is produced by a thermal activation of microcracks. Most importantly the effective temperature of the system…
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using discrete (missing) data and derive a simpler expression for…
Random Access Channel (RACH) has been identified as one of the major bottlenecks for accommodating massive number of machine-to-machine (M2M) users in LTE networks, especially for the case of burst arrival of connection requests. As a…
Disorder and long-range interactions are two of the key components that make material failure an interesting playfield for the application of statistical mechanics. The cornerstone in this respect has been lattice models of the fracture in…
Using the KEPLER hydrodynamics code, 464 models of thermonuclear X-ray bursters were performed across a range of accretion rates and compositions. We present the library of simulated burst profiles from this sample, and examine variations…
The main purpose of this paper is to extend the information-based asset-pricing framework of Brody-Hughston-Macrina to a more general set-up. We include a wider class of models for market information and in contrast to the original paper,…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
We investigate the weak limit of the hyper-rough square-root process as the Hurst index $H$ goes to $-1/2\,$. This limit corresponds to the fractional kernel $t^{H - 1 / 2}$ losing integrability. We establish the joint convergence of the…
In this note we prove a spectral gap for various Markov chains on various functional spaces. While proving that a spectral gap exists is relatively common, explicit estimates seems somewhat rare.These estimates are then used to apply the…
The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…
We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Heston models of stochastic volatility. All results are based on…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…