Variograms and covariance functions are key tools in geostatistics. However, various properties, characterizations, and decomposition theorems have been established for covariance functions only. We present analogous results for variograms and explore the connections with covariance functions. Our findings include criteria for covariance functions on intervals, and we apply them to exponential models, fractional Brownian motion, and locally polynomial covariances. In particular, we characterize isotropic locally polynomial covariance functions of degree 3.

The paper yields retrieval formulae of the directional distribution of a stationary k-flat process in ℝd if its rose of intersections with all r-flats is known. Cases k = d −1, 1 ≤ r ≤ d - 1 for arbitrary d and d = 4, k = 2, r = 2 are considered. Some generalizations to manifold processes in ℝd are made. The proofs use the methods of harmonic analysis on higher Grassmannians (spherical harmonics, integral transforms).

With the aim of providing greater flexibility in developing and applying shot noise models, this paper studies shot noise on cluster point processes with both pointwise and cluster marks. For example, in financial modelling, responses to events in the financial market may occur in clusters, with random amplitudes including a ‘cluster component’ reflecting a degree of commonness among responses within a cluster. For such shot noise models, general formulae for the characteristic functional are developed and specialized to the case of Neyman-Scott clustering with cluster marks. For several general forms of response function, long range dependence of the corresponding equilibrium shot noise models is investigated. It is shown, for example, that long range dependence holds when the ‘structure component’ of the response function decays slowly enough, or when the response function has a finite random duration with a heavy tailed distribution.

We prove a d-dimensional renewal theorem, with an estimate on the rate of convergence, for Markov random walks. This result is applied to a variety of boundary crossing problems for a Markov random walk (Xn,Sn), n ≥0, in which Xn takes values in a general state space and Sn takes values in ℝd. In particular, for the case d = 1, we use this result to derive an asymptotic formula for the variance of the first passage time when Sn exceeds a high threshold b, generalizing Smith's classical formula in the case of i.i.d. positive increments for Sn. For d > 1, we apply this result to derive an asymptotic expansion of the distribution of (XT,ST), where T = inf { n : Sn,1 > b } and Sn,1 denotes the first component of Sn.

A new statistical method for estimating the orientation distribution of fibres in a fibre process is suggested where the process is observed in the form of a degraded digital greyscale image. The method is based on line transect sampling of the image in a few fixed directions. A well-known method based on stereology is available if the intersections between the transects and fibres can be counted. We extend this to the case where, instead of the intersection points, only scaled variograms of grey levels along the transects are observed. The nonlinear estimation equations for a parametric orientation distribution as well as a numerical algorithm are given. The method is illustrated by a real-world example and simulated examples where the elliptic orientation distribution is applied. In its simplicity, the new approach is intended for industrial on-line estimation of fibre orientation in disordered fibrous materials.

A new computationally simple, speedy and accurate method is proposed to construct first-passage-time probability density functions for Gauss–Markov processes through time-dependent boundaries, both for fixed and for random initial states. Some applications to Brownian motion and to the Brownian bridge are then provided together with a comparison with some computational results by Durbin and by Daniels. Various closed-form results are also obtained for classes of boundaries that are intimately related to certain symmetries of the processes considered.

We use Jacobi field arguments and the contraction mapping theorem to locate Fréchet means of a class of probability measures on locally symmetric Riemannian manifolds with non-negative sectional curvatures. This leads, in particular, to a method for estimating Fréchet mean shapes, with respect to the distance function ρ determined by the induced Riemannian metric, of a class of probability measures on Kendall's shape spaces. We then combine this with the technique of ‘horizontally lifting’ to the pre-shape spheres to obtain an algorithm for finding Fréchet mean shapes, with respect to ρ, of a class of probability measures on Kendall's shape spaces in terms of the vertices of random shapes. This gives us, for example, an algorithm for finding Fréchet mean shapes of samples of configurations on the plane which is expressed directly in terms of the vertices.

We consider the problem of optimally tracking a Brownian motion by a sequence of impulse controls, in such a way as to minimize the total expected cost that consists of a quadratic deviation cost and a proportional control cost. The main feature of our model is that the control can only be exerted at the arrival times of an exogenous uncontrolled Poisson process (signal). In other words, the set of possible intervention times are discrete, random and determined by the signal process (not by the decision maker). We discuss both the discounted problem and the ergodic problem, where explicit solutions can be found. We also derive the asymptotic behavior of the optimal control policies and the value functions as the intensity of the Poisson process goes to infinity, or roughly speaking, as the set of admissible controls goes from the discrete-time impulse control to the continuous-time bounded variation control.

Intrinsic volumes are key functionals in convex geometry and have also appeared in several stochastic settings. Here we relate them to questions of regularity in Gaussian processes with regard to Itô–Nisio oscillation and metrization of GB/GC indexing sets. Various bounds and estimates are presented, and questions for further investigation are suggested. From alternate points of view, much of the discussion can be interpreted in terms of (i) random sets and (ii) properties of (deterministic) infinite-dimensional convex bodies.

This paper analyzes optimal single and multiple stopping rules for a class of correlated random walks that provides an elementary model for processes exhibiting momentum or directional reinforcement behavior. Explicit descriptions of optimal stopping rules are given in several interesting special cases with and without transaction costs. Numerical examples are presented comparing optimal strategies to simpler buy and hold strategies.

We consider generalisations of two classical stochastic scheduling models, namely the discounted branching bandit and the discounted multi-armed bandit, to the case where the collection of machines available for processing is itself a stochastic process. Under rather mild conditions on the machine availability process we obtain performance guarantees for a range of controls based on Gittins indices. Various forms of asymptotic optimality are established for index-based limit policies as the discount rate approaches 0.

The problem of finding bounds for P(A1 ∪ ⋯ ∪ An) based on P(Ak1 ∩ ⋯ ∩ Aki) (1 ≤ k1 < ⋯ < ki ≤ n, i = 1,…,d) goes back to Boole (1854), (1868) and Bonferroni (1937). In this paper upper bounds are presented using methods in graph theory. The main theorem is a common generalization of the earlier results of Hunter, Worsley and recent results of Prékopa and the author. Algorithms are given to compute bounds. Examples for bounding values of multivariate normal distribution functions are presented.

We define and analyse a random coverage process of the d-dimensional Euclidean space which allows us to describe a continuous spectrum that ranges from the Boolean model to the Poisson–Voronoi tessellation to the Johnson–Mehl model. As for the Boolean model, the minimal stochastic setting consists of a Poisson point process on this Euclidean space and a sequence of real valued random variables considered as marks of this point process. In this coverage process, the cell attached to a point is defined as the region of the space where the effect of the mark of this point exceeds an affine function of the cumulative effect of all marks. This cumulative effect is defined as the shot-noise process associated with the marked point process. In addition to analysing and visualizing this spectrum, we study various basic properties of the coverage process such as the probability that a point or a pair of points be covered by a typical cell. We also determine the distribution of the number of cells which cover a given point, and show how to provide deterministic bounds on this number. Finally, we also analyse convergence properties of the coverage process using the framework of closed sets, and its differentiability properties using perturbation analysis. Our results require a pathwise continuity property for the shot-noise process for which we provide sufficient conditions. The model in question stems from wireless communications where several antennas share the same (or different but interfering) channel(s). In this case, the area where the signal of a given antenna can be received is the area where the signal to interference ratio is large enough. We describe this class of problems in detail in the paper. The results obtained allow us to compute quantities of practical interest within this setting: for instance the outage probability is obtained as the complement of the volume fraction; the law of the number of cells covering a point allows us to characterize handover strategies, and so on.

In this paper, we obtain Markovian bounds on a function of a homogeneous discrete time Markov chain. For deriving such bounds, we use well-known results on stochastic majorization of Markov chains and the Rogers–Pitman lumpability criterion. The proposed method of comparison between functions of Markov chains is not equivalent to generalized coupling method of Markov chains, although we obtain same kind of majorization. We derive necessary and sufficient conditions for existence of our Markovian bounds. We also discuss the choice of the geometric invariant related to the lumpability condition that we use.

We are interested in estimating the intensity parameter of a Boolean model of discs (the bombing model) from a single realization. To do so, we derive the conditional distribution of the points (germs) of the underlying Poisson process. We demonstrate how to apply coupling from the past to generate samples from this distribution, and use the samples thus obtained to approximate the maximum likelihood estimator of the intensity. We discuss and compare two methods: one based on a Monte Carlo approximation of the likelihood function, the other a stochastic version of the EM algorithm.

We present a stochastic algorithm which generates optimal probabilities for the chaos game to decompress an image represented by the fixed point of an IFS operator. The algorithm can be seen as a sort of time-inhomogeneous regenerative process. We prove that optimal probabilities exist and, by martingale methods, that the algorithm converges almost surely. The method holds for IFS operators associated with any arbitrary number of possibly overlapping affine contraction maps on the pixels space.

Sun and Waterman model DNA mutations during the PCR reaction by a non-canonical branching process. Mean-field approximated values fit the simulated values surprisingly well. We prove this as a theoretical result, for a wide range of the parameters. Thus, we bound explicitly the biases, in law and in the mean, that the mean-field approximation induces in the random number of mutations of a DNA molecule, as a function of the initial number of molecules, of the number of PCR cycles, of the efficiency rate and of the mutation rate. The range where we prove that the approximation is good contains the observed mutation rates in many actual PCR reactions.