Results 51 to 60 of about 63,363 (219)

An Adapted Discrete Lindley Model Emanating from Negative Binomial Mixtures for Autoregressive Counts

Mathematics, 2022
Analysing autoregressive counts over time remains a relevant and evolving matter of interest, where oftentimes the assumption of normality is made for the error terms. In the case when data are discrete, the Poisson model may be assumed for the structure
Ané van der Merwe, Johannes T. Ferreira
doaj   +1 more source

Fluctuation Theory for Upwards Skip-Free Lévy Chains

Risks, 2018
A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free Lévy chains, i.e., for right-continuous random walks embedded into continuous time as compound Poisson processes.
Matija Vidmar
doaj   +1 more source

Probabilistic Description of the State of Charge of Batteries Used for Primary Frequency Regulation

Energies, 2022
Battery participation in the service of power system frequency regulation is universally recognized as a viable means for counteracting the dramatic impact of the increasing utilization of renewable energy sources.
Elio Chiodo, Davide Lauria, Fabio Mottola, Daniela Proto, Domenico Villacci, Giorgio Maria Giannuzzi, Cosimo Pisani   +6 more
doaj   +1 more source

Model misspecification in peaks over threshold analysis

, 2010
Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances.
Davison, Anthony C., Süveges, Mária
core   +1 more source

Statistical properties of an estimator for the mean function of a compound cyclic Poisson process in the presence of linear trend

Arab Journal of Mathematical Sciences, 2017
The problem of estimating the mean function of a compound cyclic Poisson process with linear trend is considered. An estimator of this mean function is constructed and investigated.
Bonno Andri Wibowo, I Wayan Mangku, Siswadi   +2 more
doaj   +1 more source

Compound Poisson Processes: Potentials, Green Measures and Random Times

SSRN Electronic Journal, 2022
20 ...
Yuri Kondratiev, José L. da Silva
openaire   +4 more sources

Option pricing in time-changed Lévy models with compound Poisson jumps

Modern Stochastics: Theory and Applications, 2018
The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits.
Roman V. Ivanov, Katsunori Ano
doaj   +1 more source

Wavelet Compressibility of Compound Poisson Processes

, 2020
In this paper, we precisely quantify the wavelet compressibility of compound Poisson processes. To that end, we expand the given random process over the Haar wavelet basis and we analyse its asymptotic approximation properties. By only considering the nonzero wavelet coefficients up to a given scale, what we call the greedy approximation, we exploit ...
Aziznejad, Shayan, Fageot, Julien
openaire   +2 more sources

The Wavelet Compressibility of Compound Poisson Processes [PDF]

, 2021
Shayan Aziznejad, Julien Fageot
openalex   +1 more source

Are current microscopic traffic models capable of generating jerk profile consistent with real world observations?

International Journal of Transportation Science and Technology
Microscopic behavior modeling plays a critical role in traffic flow analyais, simulation, and autonomous vehicle algorithm development. Numerous efforts are devoted to the development of it in both longitudinal and lateral dimensions.
Hongsheng Qi
doaj   +1 more source