Search Results - subject:"Poisson Process"

Helmers, Roelof; Mangku, I. - In: Annals of the Institute of Statistical Mathematics 64 (2012) 6, pp. 1261-1279

We construct and investigate a (1−α)-upper prediction bound for a future observation of a cyclic Poisson process using …

Persistent link: https://www.econbiz.de/10011000074

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

Li, Dong; Ling, Shiqing - In: Journal of Econometrics 167 (2012) 1, pp. 240-253

weakly to the smallest minimizer of a one-dimensional two-sided compound Poisson process. The remaining parameters are n … limiting distribution of the estimated threshold via simulating a related compound Poisson process. Based on the numerical …

Persistent link: https://www.econbiz.de/10010577520

Modeling age-based maintenance strategies with minimal repairs for systems subject to competing failure modes due to degradation and shocks

Huynh, K.T.; Castro, I.T.; Barros, A.; Bérenguer, C. - In: European Journal of Operational Research 218 (2012) 1, pp. 140-151

This paper deals with maintenance strategies with minimal repairs for single-unit repairable systems which are subject to competing and dependent failures due to degradation and traumatic shocks. The main aims are to study different approaches for making a minimal repair decision (i.e.,...

Persistent link: https://www.econbiz.de/10010577612

Modeling gap times between recurrent events by marginal rate function

Zhao, Xiaobing; Zhou, Xian - In: Computational Statistics & Data Analysis 56 (2012) 2, pp. 370-383

Gap times between recurrent events are often encountered in longitudinal follow-up studies related to medical science, biostatistics, econometrics, reliability, criminology, demography, and other areas. There have been many models to fit such data, such as proportional hazards (PH) model and...

Persistent link: https://www.econbiz.de/10010577713

On the nonstationarity of the exchange rate process

Ohnishi, Takaaki; Takayasu, Hideki; Ito, Takatoshi; … - In: International Review of Financial Analysis 23 (2012) C, pp. 30-34

interval T0. These findings indicate that the recurrence intervals are characterized by a Poisson process. We interpret this …

Persistent link: https://www.econbiz.de/10010577782

Estimating the parameters of a Poisson process model for predator–prey interactions

Froda, Sorana; Ferland, René - In: Statistics & Probability Letters 82 (2012) 12, pp. 2252-2259

–prey interactions. The idea is to incorporate a predator–prey dynamical model into a non homogeneous Poisson process of periodic …

Persistent link: https://www.econbiz.de/10010580422

New statistical distributions for group counting in Bernoulli and Poisson processes

Cao, Min; Tai, Allen; Chan, Ling-Yau - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 1, pp. 29-53

Persistent link: https://www.econbiz.de/10010994272

On parameter estimation of threshold autoregressive models

Chan, Ngai; Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 81-104

Persistent link: https://www.econbiz.de/10010539196

A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES

NORBERG, RAGNAR; SAVINA, OKSANA - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250030-1

catastrophe-related losses in an incomplete market. The losses are modeled as a doubly stochastic compound Poisson process with …

Persistent link: https://www.econbiz.de/10010552941

On the intraday periodicity duration adjustment of high-frequency data

Wu, Zhengxiao - In: Journal of Empirical Finance 19 (2012) 2, pp. 282-291

In the last decade, intensive studies on modeling high frequency financial data at the transaction level have been conducted. In the analysis of high-frequency duration data, it is often the first step to remove the intraday periodicity. Currently the most popular adjustment procedure is the...

Persistent link: https://www.econbiz.de/10010572329