相关论文: Stochastic comparisons of lifetimes of series and …

We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…

Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…

The stochastic frontier model with heterogeneous technical efficiency explained by exoge-nous variables is augmented with a spatial-temporal component, a generalization relaxing the panel independence assumption in a panel data. The…

We do the error analysis in reliability measures due to the assumption of independence amongst the component lifetimes. In reliability theory, we come across different n-component structures like series, parallel, and k-out-of-n systems. A…

The modelling and analysis of biological systems has deep roots in Mathematics, specifically in the field of ordinary differential equations (ODEs). Alternative approaches based on formal calculi, often derived from process algebras or term…

In this paper, we develop Bayesian predictive inferential procedures for prediction of repair times of a series system, applying a minimal repair strategy, using the information contained in an independent observed hybrid censored sample of…

A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…

In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach presented here is semi-parametric in that it is characterized by…

Recent advances in steady-state analysis of power systems have introduced the equivalent split-circuit approach and corresponding continuation methods that can reliably find the correct physical solution of large-scale power system…

We review some of the properties of higher-dimensional superstatistical stochastic models. As an example, we analyse the stochastic properties of a superstatistical model of 3-dimensional Lagrangian turbulence, and compare with experimental…

Cells of the human body have nearly identical genome but exhibit very different phenotypes that allow them to carry out specific functions and react to changes in their surrounding environment. This division of labour is achieved by…

A version of the time-parallel algorithm parareal is analyzed and applied to stochastic models in chemical kinetics. A fast predictor at the macroscopic scale (evaluated in serial) is available in the form of the usual reaction rate…

Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sectorial,…

We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual…

This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…

Time-to-event semi-competing risk endpoints may be correlated when both events are occurring on the same individual. These events and the association between them may also be influenced by individual characteristics. In this paper, we…

The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…

We study general stochastic birth and death processes including delay. We develop several approaches for the analytical treatment of these non-Markovian systems, valid, not only for constant delays, but also for stochastic delays with…

I study linear panel data models with predetermined regressors (such as lagged dependent variables) where coefficients are individual-specific, allowing for heterogeneity in the effects of the regressors on the dependent variable. I show…

In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show that the proposed methodology is compatibility-free and…