Showing papers in "Statistics & Probability Letters in 2011"

TL;DR: In this paper, the authors considered the optimal dividend problem for the compound Poisson risk model and gave sufficient conditions under which the optimal strategy is of threshold type. But their objective was to find a policy so as to maximize the expected discounted value of dividends until ruin.

TL;DR: In this paper, the authors constructed a Lyapunov function to prove the global stability of the unique smoking-present equilibrium state of a mathematical model of smoking and incorporated random noise into the deterministic model.

TL;DR: New effect partitioning results under interferences are provided that express the overall effect as a sum of the indirect (or spillover) effect and a contrast between two direct effects.

TL;DR: In this article, the exponentiated generalized inverse Gaussian distribution (EGIGA) is proposed for lifetime data analysis, which is based on the standard gamma distribution (GIGA).

TL;DR: This paper proposes a "mixed effects regression tree" method where the correlated observations are viewed as nested within clusters rather than as vectors of multivariate repeated responses, which can handle unbalanced clusters, allows observations within clusters to be split, and can incorporate random effects and observation-level covariates.

TL;DR: This work develops broad conditions on the adaptive randomization method and the stochastic mechanism by which outcomes and covariate vectors are sampled that ensure that the type I error is controlled at the level of the randomization test.

TL;DR: In this paper, it was shown that for any matrix Θ with bounded trace norm and for each complex z outside the positive real line, Tr [ Θ ( B − z I M ) − 1 ] − δ M ( z ) → 0 almost surely as M, N → ∞ at the same rate, where δ m( z ) is deterministic and solely depends on Θ, A, R and T.

TL;DR: In this article, the ordering properties of the lifetimes of parallel systems with two independent heterogeneous gamma components in terms of dispersive and star orders were discussed. And the results established here extend some of the known results in the literature.

TL;DR: In this article, the authors considered time-changed Poisson processes and derived the governing difference-differential equations (DDEs) for these processes, and derived a new governing partial differential equation for the tempered stable subordinator of index 0 β 1.

TL;DR: In this paper, two SPC control charts for applications when the process data are not normal, and compare them with the traditional CUSUM chart and two recent distribution-free control charts.

TL;DR: In this article, the authors proposed the so-called beta Laplace distribution, which extends the Laplace distributions with a moment generating function and moments of the order statistics, and derived various structural properties of the new distribution.

TL;DR: In this paper, the mean-variance ratio (MVR) statistic was proposed for testing the equality of mean-varianance ratios. And the proposed statistic is the uniformly most powerful unbiased statistic for comparing the performances of stock indices.

TL;DR: In this paper, the authors developed random walk models that converge to a tempered stable law under a triangular array scheme, which can provide a basic physical model for the underlying physical phenomena.

TL;DR: In this paper, a class of neutral stochastic partial differential equations with delays and Poisson jumps is considered and sufficient conditions for the existence and exponential stability in mean square as well as almost surely exponential stability of mild solutions are derived by means of the Banach fixed point principle.

TL;DR: This paper studies the weighted differential information measure for two-sided truncated random variables, a generalization of recent dynamic weighted entropy measures, and obtains its upper and lower bounds.

TL;DR: A generalized cumulative residual information measure based on Verma's entropy function and a dynamic version of it is studied, which has been characterized using the exponential, Pareto and finite range distributions.

TL;DR: In this article, the Wentzell-Wentzell large deviation estimates for positive diffusion processes with coefficients that are neither bounded nor Lipschitz continuous were shown to hold for the CIR and CEV models.

TL;DR: In this article, it was shown that any η -irreducible Markov chain having a transition density with respect to η and possessing a stationary distribution π is automatically positive Harris recurrent.

TL;DR: In this article, the authors compared the lifetimes of two-component series systems with two active redundancies using the hazard rate and the reversed hazard rate orders, and found conditions under which there is no hazard rate ordering between the lifetime of the systems.

TL;DR: In this article, the authors estimate the drift parameter in a simple linear model driven by fractional Brownian motion using a random walk approximation of the fractional brownian motion, and propose maximum likelihood estimators (MLE) for the drift parameters.

TL;DR: In this paper, the limit behavior of scan statistics in a form of maxima of moving sum processes with changing window size for detecting a transient change is studied. But the limit variables are not considered.

TL;DR: In this article, the authors consider checking for prior-data conflict in a Bayesian analysis via a tail probability based on the prior predictive distribution, and establish the appropriateness of this measure in the sense that the limiting value of the tail probability measures the extent to which the true value of a parameter is a surprising value from the prior.

TL;DR: In this article, the transition laws of stable subordinators and their inverse processes are expressed by means of transition laws for fractional higher-order equations and the explicit solutions of these transition laws are presented.

TL;DR: This paper finds the posterior regret [Gamma]-minimax predictor and estimator in a general class of distributions and constructs the conditional [gamma]- minimax, most stable and least sensitive prediction and estimation in a gamma model.

TL;DR: In this paper, it was shown that the distribution of the spectral functions in this representation equals a well-known diffusion, namely a standard Brownian motion with drift conditional on taking negative values only.

TL;DR: In this paper, the consistency and asymptotic normality for the LS estimators β ˆ n and θ dž n of the unknown parameters β, θ are obtained, which weaken some known conditions and improve some known results.

TL;DR: A collaborative targeted maximum likelihood estimator in a semi-parametric model using a newly proposed 2-part super learning algorithm to find quantitative trait loci genes in listeria data is presented.

TL;DR: In this paper, an alternative approach to extreme shock models using reinforced urn processes is proposed, which is able to look at the same problem under a Bayesian nonparametric perspective, providing the predictive distribution of systems' defaults.

TL;DR: In this paper, a general criterion is proposed to determine the number K of the change-points in a parametric nonlinear multi-response model, where the change points depend on regressor values and not on instant of measure.

TL;DR: A novel approach to nonparametric point and interval estimation of a treatment effect in the presence of many continuous confounders that applies equally to the regular case where the expected conditional covariance is root-n estimable and to the irregular case where slower non-parametric rates prevail.