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Two New Mixture Models Related to the Inverse Gaussian Distribution
This article presents a new family of logarithmic distributions to be called the sinh mixture inverse Gaussian model and its associated life...
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On the use of non-linear transformations in Stochastic Volatility models
Stochastic Volatility models have been considered as a real alternative to conditional variance models, assuming that volatility follows a process...
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A Two-Stage Group Testing Model for Infections with Window Periods
We present a two-stage group testing model for the detection of viruses in blood samples in the presence of random window periods. As usual, if a...
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On New Multivariate Probability Distributions and Stochastic Processes with System Reliability and Maintenance Applications
Two distinct methods for construction of some interesting new classes of multivariate probability densities are described and applied. As common...
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Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks
This paper addresses the problem of quantifying and modeling financial institutions’ operational risk in accordance with the Advanced Measurement...
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Modelling Operational Risk Losses with Graphical Models and Copula Functions
The management of Operational Risk has been a difficult task due to the lack of data and the high number of variables. In this project, we treat...
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Lattice Path Approach for Busy Period Density of GIb/G/1 Queues Using C2 Coxian Distributions
In this paper busy period analysis of non-Markovian queuing system GI b / G /1, starting initially with i 0 batches of customers, is carried out via...
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An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting
Although importance sampling is an established and effective sampling and estimation technique, it becomes unstable and unreliable for...
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On waiting time distributions associated with compound patterns in a sequence of multi-state trials
In this article, waiting time distributions of compound patterns are considered in terms of the generating function of the numbers of occurrences of...
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On the Normal Approximation for the Distribution of the Number of Simple or Compound Patterns in a Random Sequence of Multi-state Trials
Distributions of numbers of runs and patterns in a sequence of multi-state trials have been successfully used in various areas of statistics and...
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Bivariate Markov chain embeddable variables of polynomial type
The primary aim of the present article is to provide a general framework for investigating the joint distribution of run length...
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Inference in hybrid Bayesian networks using dynamic discretization
We consider approximate inference in hybrid Bayesian Networks (BNs) and present a new iterative algorithm that efficiently combines dynamic...
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On occurrence of subpattern and method of gambling teams
The expected value and generating function of the number of overlap** occurrences of a pattern P in a Markov chain until the first occurrence of a...
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A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
This paper presents a comprehensive review and comparison of five computational methods for Bayesian model selection, based on MCMC simulations from...
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Joint Distributions of Numbers of Runs of Specified Lengths in a Sequence of Markov Dependent Multistate Trials
Let Z 0 , Z 1 ,..., Z n be a sequence of Markov dependent trials with state space Ω = { F 1 ,..., F λ , S 1 ,..., S ν }, where we regard F ...
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Estimating mixtures of truncated exponentials in hybrid bayesian networks
The MTE (Mixture of Truncated Exponentials) model allows to deal with Bayesian networks containing discrete and continuous variables simultaneously....
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Stochastic Comparison of Age-Dependent Block Replacement Policies
The age-dependent block replacement policy is a modified block replacement policy with an age limit for preventive replacements. Under this policy,...