Communications in Statistics - Theory and Methods, Volume 43, Issue 7 (2014)

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Communications in Statistics - Theory and Methods, Volume 43, Issue 7 (2014)

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Methods on Markov and Semi-Markov Processes and Related Fields

Preface

Introduction
Preface
P.-C.G. Vassiliou
Pages: 1293-1295
Published online: 14 Mar 2014
First Page PreviewforPreface | Full Text | PDF (50.3 KB)
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Original Articles

Article
Inhomogeneous Markov Chains and Ergodicity Coefficients: John Hajnal (1924–2008)
Eugene Seneta
Pages: 1296-1308
Published online: 26 Mar 2014
AbstractforInhomogeneous Markov Chains and Ergodicity Coefficients: John Hajnal (1924–2008) | Full Text | References | PDF (834.5 KB)
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Article
The Role of Kemeny's Constant in Properties of Markov Chains
Jeffrey J. Hunter
Pages: 1309-1321
Published online: 14 Mar 2014
AbstractforThe Role of Kemeny's Constant in Properties of Markov Chains | Full Text | References | PDF (148.2 KB)
  • 372 Views
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Article
Markov Systems in a General State Space
P. C. G. Vassiliou
Pages: 1322-1339
Published online: 18 Mar 2014
AbstractforMarkov Systems in a General State Space | Full Text | References | PDF (157.2 KB)
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Article
Central Limit Theorem Approximations for the Number of Runs in Markov-dependent Multi-type Sequences
George C. Mytalas & Michael A. Zazanis
Pages: 1340-1350
Published online: 17 Mar 2014
AbstractforCentral Limit Theorem Approximations for the Number of Runs in Markov-dependent Multi-type Sequences | Full Text | References | PDF (148.8 KB)
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Article
Modelling and Prediction of Financial Time Series
N. H. Bingham
Pages: 1351-1361
Published online: 17 Mar 2014
AbstractforModelling and Prediction of Financial Time Series | Full Text | References | PDF (109.5 KB)
  • 223 Views
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Article
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey & Alexander Herbertsson
Pages: 1362-1389
Published online: 17 Mar 2014
AbstractforA Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries | Full Text | References | PDF (982.6 KB)
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Article
Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
Stéphane Crépey & Abdallh Rahal
Pages: 1390-1408
Published online: 17 Mar 2014
AbstractforSimulation/Regression Pricing Schemes for CVA Computations on CDO Tranches | Full Text | References | PDF (165.7 KB)
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Article
Parameter Estimation in Credit Models Under Incomplete Information
Alexander Herbertsson & Rüdiger Frey
Pages: 1409-1436
Published online: 17 Mar 2014
AbstractforParameter Estimation in Credit Models Under Incomplete Information | Full Text | References | PDF (1.3 MB)
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Article
Costing Mixed Coxian Phase-type Systems with Poisson Arrivals
Sally McClean, Lalit Garg & Ken Fullerton
Pages: 1437-1452
Published online: 19 Mar 2014
AbstractforCosting Mixed Coxian Phase-type Systems with Poisson Arrivals | Full Text | References | PDF (215.1 KB)
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Article
Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards
Dmitrii Silvestrov, Raimondo Manca & Evelina Silvestrova
Pages: 1453-1469
Published online: 17 Mar 2014
AbstractforComputational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards | Full Text | References | PDF (158.5 KB)
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Article
On the Variances and Convariances of the Duration State Sizes of Semi-Markov Systems
Aleka Papadopoulou & P.-C. G. Vassiliou
Pages: 1470-1483
Published online: 19 Mar 2014
AbstractforOn the Variances and Convariances of the Duration State Sizes of Semi-Markov Systems | Full Text | References | PDF (135.4 KB)
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Article
Hidden Semi-Markov Modeling for the Estimation of Earthquake Occurrence Rates
I. Votsi, N. Limnios, G. Tsaklidis & E. Papadimitriou
Pages: 1484-1502
Published online: 17 Mar 2014
AbstractforHidden Semi-Markov Modeling for the Estimation of Earthquake Occurrence Rates | Full Text | References | PDF (881.4 KB)
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Article
Bivariate Semi-Markov Process for Counterparty Credit Risk
Guglielmo D'amico, Raimondo Manca & Giovanni Salvi
Pages: 1503-1522
Published online: 17 Mar 2014
AbstractforBivariate Semi-Markov Process for Counterparty Credit Risk | Full Text | References | PDF (417.6 KB)
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Article
Operators Satisfying the Schur Condition and their Applications to the Branching Random Walks
E. B. Yarovaya
Pages: 1523-1532
Published online: 18 Mar 2014
AbstractforOperators Satisfying the Schur Condition and their Applications to the Branching Random Walks | Full Text | References | PDF (124.8 KB)
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Article
Stochastic Liénard Equations with Random Switching and Two-time Scales
G. Yin, Yousef Talafha & Fubao Xi
Pages: 1533-1547
Published online: 17 Mar 2014
AbstractforStochastic Liénard Equations with Random Switching and Two-time Scales | Full Text | References | PDF (154 KB)
  • 107 Views
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Article
Transient Analysis of the M/M/k/N/N Queue using a Continuous Time Homogeneous Markov System with Finite State Size Capacity
G. Vasiliadis
Pages: 1548-1562
Published online: 17 Mar 2014
AbstractforTransient Analysis of the M/M/k/N/N Queue using a Continuous Time Homogeneous Markov System with Finite State Size Capacity | Full Text | References | PDF (194.3 KB)
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Article
Inventory Systems with Unreliable Suppliers
Ekaterina Bulinskaya & Kseniya Shakhgildyan
Pages: 1563-1574
Published online: 17 Mar 2014
AbstractforInventory Systems with Unreliable Suppliers | Full Text | References | PDF (193.5 KB)
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Article
Some Results on the Embeddable Problem for Discrete-Time Markov Models in Manpower Planning
Marie-Anne Guerry
Pages: 1575-1584
Published online: 17 Mar 2014
AbstractforSome Results on the Embeddable Problem for Discrete-Time Markov Models in Manpower Planning | Full Text | References | PDF (119.9 KB)
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Article
The First Exit Time Theory Applied to Life Table Data: The Health State Function of a Population and Other Characteristics
Christos H. Skiadas & Charilaos Skiadas
Pages: 1585-1600
Published online: 17 Mar 2014
AbstractforThe First Exit Time Theory Applied to Life Table Data: The Health State Function of a Population and Other Characteristics | Full Text | References | PDF (847.2 KB)
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