相关论文: Tornadoes and related damage costs: statistical mo…
This paper estimates local tornado risk from records of past events using statistical models. First, a spatial model is fit to the tornado counts aggregated in counties with terms that control for changes in observational practices over…
Semi-Markov models are widely used for survival analysis and reliability analysis. In general, there are two competing parameterizations and each entails its own interpretation and inference properties. On the one hand, a semi-Markov…
The prediction of wind speed is very important when dealing with the production of energy through wind turbines. In this paper, we show a new nonparametric model, based on semi-Markov chains, to predict wind speed. Particularly we use an…
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used with this purpose but better models are…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains, to predict wind speed. Particularly we use an indexed…
Tornadoes are the most violent of all atmospheric storms. In a typical year, the United States experiences hundreds of tornadoes with associated damages on the order of one billion dollars. Community preparation and resilience would benefit…
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used with this purpose but better models are…
Detecting and resolving violations of temporal constraints in real-time systems is both, time-consuming and resource-intensive, particularly in complex software environments. Measurement-based approaches are widely used during development,…
The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…
The COVID-19 pandemic has been characterised by multiple waves of transmission driven by interventions and emerging variants, challenging epidemic models that assume gradually evolving transmission dynamics. We propose a class of…
Tornadoes have caused billions of dollars in damage and are one of the leading causes of weather-related deaths in the United States each year. Tornadoes are known to frequently form in the warm sector of extratropical cyclones (ETCs), yet…
In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The three models are: a simple semi-Markov chain model, an indexed…
In the mathematical modeling of strongly nonequilibrium and nonlinear processes in a tornado approach based on the momentum transfer equations with a model function of sources and sinks is used, which puts this approach to the sharpening…
We establish general theorems quantifying the notion of recurrence --- through an estimation of the moments of passage times --- for irreducible continuous-time Markov chains on countably infinite state spaces. Sharp conditions of…
In this study, two-state Markov switching multinomial logit models are proposed for statistical modeling of accident injury severities. These models assume Markov switching in time between two unobserved states of roadway safety. The states…
The Semi-Markov property of Continuous Time Random Walks (CTRWs) and their limit processes is utilized, and the probability distributions of the bivariate Markov process $(X(t),V(t))$ are calculated: $X(t)$ is a CTRW limit and $V(t)$ a…
Developing methods to predict disastrous natural phenomena is more important than ever, and tornadoes are among the most dangerous ones in nature. Due to the unpredictability of the weather, counteracting them is not an easy task and today…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…