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Small Value Probabilities for Supercritical Branching Processes with Immigration
Supercritical Galton-Watson branching process small value probability immigration
2016/1/25
We consider a supercritical Galton-Watson branching process with immigration. It is well known that under suitable conditions on the offspring and immigration distributions, there is a finite,strictly...
Small Value Probabilities for Supercritical Branching Processes with Immigration
Supercritical Galton-Watson branching process small value probability immigration
2016/1/20
We consider a supercritical Galton-Watson branching process with immigration. It is well known that under suitable conditions on the offspring and immigration distributions, there is a finite,strictly...
Nonparametric Estimation of Tail Probabilities for the Single-Server Queue
Nonparametric Estimation Tail Probabilities Single-Server Queue
2015/7/8
We consider the estimation of tail probabilities in queues via the nonparametric estimator constructed by simple computing the observed fraction of time that the queue is out in the tail. We show that...
Estimating Tail Probabilities in Queues via Extremal Statistics
Extreme values queues regenerative processes rare events estimation asymptotics
2015/7/8
We study the estimation of tail probabilities in a queue via a semi-parametric estimator based on the maximum value of the workload, observed over the sampled time interval. Logarithmic consistency an...
Bayesian Subset Simulation: a kriging-based subset simulation algorithm for the estimation of small probabilities of failure
Computer experiments Sequential design Subset Simulation Probability of failure
2012/9/19
The estimation of small probabilities of failure from computer simulations is a classical problem in engineering, and the Subset Simulation algorithm proposed by Au & Beck (Prob. Eng. Mech., 2001) has...
Estimating Failure Probabilities
asymptotic normality exceedance probability failure set homogeneity
2011/7/19
In risk management often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct an estimator for suc...
Sharp oracle inequalities and slope heuristic for specification probabilities estimation in general random fields
Sharp oracle inequalities slope heuristic specification probabilities estimation
2011/7/5
We provide new methods for estimation of the one-point specification probabilities in general discrete random fields.
Estimation of rare events probabilities in computer experiments
computer experiments rare events Kriging importance sampling Bayesian estimates risk assessment with ghter aircraft
2011/6/16
We are interested in estimating probabilities of rare events in the context of com-
puter experiments. These rare events depend on the output of a physical model with
random input variables. Since t...
We review various inequalities for Mills' ratio (1 - \Phi)/\phi, where \phi and \Phi denote the standard Gaussian density and distribution function, respectively. Elementary considerations involving f...
Posterior model probabilities computed from model-specific Gibbs output
Computation (stat.CO) Applications (stat.AP) Methodology (stat.ME)
2010/12/17
We provide a representation of reversible-jump Markov chain Monte Carlo as Gibbs sampling with alternating updates of a model indicator and a "palette" of parameters we denote $\bm \psi$. A key innova...
Long Strange Segments,Ruin Probabilities and the Effect of Memory on Moving Average Processes
Long Strange Segments Ruin Probabilities Effect Memory Moving Average Processes
2010/3/11
We obtain the rate of growth of long strange segments and the
rate of decay of infinite horizon ruin probabilities for a class of infinite moving
average processes with exponentially light tails. Th...
A betting interpretation for probabilities and Dempster-Shafer degrees of belief
betting interpretation probabilities Dempster-Shafer degrees belief
2010/3/9
There are at least two ways to interpret numerical degrees of belief in terms of
betting:
1. You can offer to bet at the odds defined by the degrees of belief.
2. You can make the judgement that a ...
The binomial ideal of the intersection axiom for conditional probabilities
binomial ideal intersection axiom conditional probabilities
2010/3/18
The binomial ideal associated with the intersection axiom of conditional
probability is shown to be radical and is expressed as an intersection
of toric prime ideals. This solves a problem in algebr...
Probabilities of moderate diviations for randomly indexed sums of random variables with multidimensional indices
Probabilities of moderate diviations random variables with multidimensional indices
2009/9/23
Probabilities of moderate deviations for randomly
indexed sums of independent and identically dmtributed random
variables with multidimensional indices are studied. The results
presented extend som...
Estimates for tail probabilities of quadratic and bilinear forms in subgaussian random variables with applications to the law of the iterated logarithm
Estimates for tail probabilities quadratic and bilinear forms
2009/9/23
We prove upper estimates for the tail prebabibties: of
quadratic and bilinear forms in independent subgaussian randarn
vslriabb. These inequalities are used to get upper esthatcs in thc law
diterat...