Search Results - subject:"Poisson Process"

On the least squares estimation of multiple-threshold-variable autoregressive models

Zhang, Xinyu; Li, Dong; Tong, Howell - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 215-228

Persistent link: https://www.econbiz.de/10014449891

A 2×2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$2~{\times }~2$$\end{document} random switching model and its dual risk model

Behme, Anita; Strietzel, Philipp Lukas - In: Queueing Systems 99 (2021) 1-2, pp. 27-64

In this article, a special case of two coupled M/G/1-queues is considered, where two servers are exposed to two types of jobs that are distributed among the servers via a random switch. In this model, the asymptotic behavior of the workload buffer exceedance probabilities for the two single...

Persistent link: https://www.econbiz.de/10014501852

Bankruptcy prediction with a doubly stochastic poisson forward intensity model and low-quality data

Berent, Tomasz; Rejman, Radosław - In: Risks 9 (2021) 12, pp. 1-24

defaulters, we model default probability using a doubly stochastic Poisson process. Our paper is unique in that it uses a large …

Persistent link: https://www.econbiz.de/10013200879

Sustainability in a Risky World

Campbell, John Y.; Martin, Ian - 2021

This paper studies the restrictions on consumption, portfolio choice, and social discounting implied by a sustainability constraint, that utility should not be expected to decline over time, in an economy with risky investment opportunities. The sustainability constraint does not distort...

Persistent link: https://www.econbiz.de/10013236208

Sustainability in a Risky World

Campbell, John Y.; Martin, Ian - National Bureau of Economic Research - 2021

We view sustainability as a requirement that welfare should not be expected to decline over time. We impose this requirement as a prior constraint on the consumption-savings-investment problem, and study its implications for saving, risky investment, and the social discount rate. The constraint...

Persistent link: https://www.econbiz.de/10012585383

Sustainability in a risky world

Campbell, John Y.; Martin, Ian - 2021 - First draft: March 2021

Persistent link: https://www.econbiz.de/10012534831

Bankruptcy prediction with a doubly stochastic poisson forward intensity model and low-quality data

Berent, Tomasz; Rejman, Radosław - In: Risks : open access journal 9 (2021) 12, pp. 1-24

defaulters, we model default probability using a doubly stochastic Poisson process. Our paper is unique in that it uses a large …

Persistent link: https://www.econbiz.de/10012794088

Optimal prediction problems and the last zero of spectrally negative Lévy processes

Pedraza Ramírez, José Manuel - 2021

Persistent link: https://www.econbiz.de/10012938989

Introduction to Stochastic Processes Using R

Madhira, Sivaprasad; Deshmukh, Shailaja - 2023

Galton Watson Branching Process -- Continuous Time Markov Chains -- Poisson Process -- Birth and Death Processes -- Brownian … chain, which include Poisson process, birth process, death process, birth and death processes and their variations. These …, epidemiology and engineering systems. The book studies in detail the Poisson process, which is the most frequently applied …

Persistent link: https://www.econbiz.de/10014425470

Developing a framework for generating production-dependent failure rate through discrete-event simulation

Leoni, Leonardo; De Carlo, Filippo; Tucci, Mario - In: International journal of production economics 266 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014440078