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A boosting first-hitting-time model for survival analysis in high-dimensional settings
In this paper we propose a boosting algorithm to extend the applicability of a first hitting time model to high-dimensional frameworks. Based on an...
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Semiparametric predictive inference for failure data using first-hitting-time threshold regression
The progression of disease for an individual can be described mathematically as a stochastic process. The individual experiences a failure event when...
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First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes
Consider a stochastic process that lives on n -semiaxes emanating from a common origin. On each semiaxis it behaves as a Brownian motion and at the...
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Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stop** and Bond Pricing
This paper investigates the hitting time problems of sticky Brownian motion and their applications in optimal stop** and bond pricing. We study the...
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Semi-parametric survival analysis via Dirichlet process mixtures of the First Hitting Time model
Time-to-event data often violate the proportional hazards assumption inherent in the popular Cox regression model. Such violations are especially...
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On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process
In this paper, we study doubly skewed CIR processes, which are extensions of skew Brownian motion. We use modified spectral expansion to obtain some...
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Accounting for delayed entry into observational studies and clinical trials: length-biased sampling and restricted mean survival time
Individuals in many observational studies and clinical trials for chronic diseases are enrolled well after onset or diagnosis of their disease. Times...
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Monitoring parameter change for bivariate time series models of counts
In this study, we consider an online monitoring procedure to detect a parameter change for bivariate time series of counts, following bivariate...
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Estimating duration distribution aided by auxiliary longitudinal measures in presence of missing time origin
Understanding the distribution of an event duration time is essential in many studies. The exact time to the event is often unavailable, and thus so...
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Sequential online monitoring for autoregressive time series of counts
This study considers the online monitoring problem for detecting the parameter change in time series of counts. For this task, we construct a...
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Model Misspecification in Discrete Time Bayesian Online Change Detection
We revisit the classical formulation of the discrete time Bayesian online change detection problem in which the common distribution of an observed...
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Nonparametric Approximation Methods for the First-Passage Time Distribution for Degradation Data Measured with Unequal Time Intervals
Evaluating the first-passage time (FPT) distribution of a stochastic process is a prominent statistical problem, which has long been studied. This...
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Moments of the Ruin Time in a Lévy Risk Model
We derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the...
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An Examination of the Negative Occupancy Distribution and the Coupon-Collector Distribution
We examine the negative occupancy distribution and the coupon-collector distribution, both of which arise as distributions relating to hitting times...
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First Hitting Time Distributions for Brownian Motion and Regions with Piecewise Linear Boundaries
Explicit formulas for the first hitting time distributions for a standard Brownian motion and different regions including rectangular, triangle,...
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Unbiased Simulation of Rare Events in Continuous Time
For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance of...
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Random Variate Generation for the First Hit of a Ball for the Symmetric Stable Process in \(\mathbb {R}^d\)
We provide uniformly efficient random variate generators for a collection of distributions for the hits of the symmetric stable process in
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The First Exit Time Stochastic Theory Applied to Estimate the Life-Time of a Complicated System
We develop a first exit time methodology to model the life time process of a complicated system. We assume that the functionality level of a...
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