Palacios, José Luis
Published in
Methodology And Computing In Applied Probability

Building on a probabilistic proof of Foster’s first formula given by Tetali (1994), we prove an elementary identity for the expected hitting times of an ergodic N-state Markov chain which yields as a corollary Foster’s second formula for electrical networks, namely \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{...

Naus, Joseph I. Wallenstein, Sylvan
Published in
Methodology And Computing In Applied Probability

Researchers apply scan statistics to test for unusually large clusters of events within a time window of specified length w, or alternatively an unusually small window w that contains a specified number of events. In some cases, the researcher is interested in testing for a range of specified window lengths, or a set of several specified number of ...

Booth, Hilary S. MacNamara, Shevarl F. Nielsen, Ole M. Wilson, Susan R.
Published in
Methodology And Computing In Applied Probability

This paper concerns the longest common subsequence (LCS) shared by two sequences (or strings) of length N, whose elements are chosen at random from a finite alphabet. The exact distribution and the expected value of the length of the LCS, k say, between two random sequences is still an open problem in applied probability. While the expected value E...

Bebbington, Mark Zitikis, Ričardas
Published in
Methodology And Computing In Applied Probability

While there are a number of methods for estimating the intensity of a cyclic point process, these assume prior estimation of the period itself. The standard method for the latter is the “periodogram,” or spectral analysis, approach. This is a parametric method which is sensitive to the form, in particular the number of peaks per cycle, of the inten...

Cohen, Serge Taqqu, Murad S.
Published in
Methodology And Computing In Applied Probability

The stable Telecom process has infinite variance and appears as a limit of renormalized renewal reward processes. We study its Poissonized version where the infinite variance stable measure is replaced by a Poisson point measure. We show that this Poissonized version converges to the stable Telecom process at small scales and to the Gaussian fracti...

Michel, Julien
Published in
Methodology And Computing In Applied Probability

We consider some models of filtered point processes such as those developped in Yue and Hashino (2001), and rephrase them in terms of point processes. We derive from this formulation some estimates for the probability of overflow in a rainfall process. This method allows us by considering a non deterministic model of filtering to compute some chara...

Linwong*, Pinai Kato*, Nei Nemoto*, Yoshiaki
Published in
Methodology And Computing In Applied Probability

This paper proposes a polynomial factorization approach for queue length distribution of discrete time GIX/G/1 and GIX/G/1/K queues. They are analyzed by using a two-component state model at the arrival and departure instants of customers. The equilibrium state-transition equations of state probabilities are solved by a polynomial factorization met...

Vaughan, Diane E. Jacobson, Sheldon H.
Published in
Methodology And Computing In Applied Probability

This paper formulates tabu search strategies that guide generalized hill climbing (GHC) algorithms for addressing NP-hard discrete optimization problems. The resulting framework, termed tabu guided generalized hill climbing (TG2HC) algorithms, uses a tabu release parameter that probabilistically accepts solutions currently on the tabu list. TG2HC a...

Sacerdote, L. Smith, C. E.
Published in
Methodology And Computing In Applied Probability

Conditions on the boundary and parameters that produce ordering in the first passage time distributions of two different diffusion processes are proved making use of comparison theorems for stochastic differential equations. Three applications of interest in stochastic modeling are presented: a sensitivity analysis for diffusion models characterize...

GÅsemyr, JØrund Natvig, Bent NygÅrd, Cecilie Sjuls
Published in
Methodology And Computing In Applied Probability

In this paper, we consider adaptive independent chain (AIC) Metropolis–Hastings algorithms as introduced in a special context in Gåsemyr et al. (2001) and developed theoretically in Gåsemyr (2003). The algorithms aim at producing samples from a specific target distribution Π, and are adaptive, non-Markovian versions of the Metropolis–Hastings indep...