Let ℬs([a,b];μ1,μ2,…,μs-1) be the class of all distribution functions of random variables with support in [a,b] having μ1,μ2,…,μs-1 as their first s-1 moments. In this paper we examine some aspects of the structure of ℬs([a,b];μ1,μ2,…,μs-1) and of the s-convex stochastic extrema in it. Using representation results of moment matrices à la Lindsay (1989a), we provide conditions for the admissibility of moment sequences in ℬs([a,b];μ1,μ2,…,μs-1) in terms of lower bounds on the number of support points of the corresponding distribution functions. We point out two special distributions with a minimal number of support points that are the s-convex extremal distributions. It is shown that the support points of these extrema are the roots of some polynomials, and an efficient method for the complete determination of the distribution functions of these extrema is described. A study of the goodness of fit, of the approximation of an arbitrary element in ℬs([a,b];μ1,μ2,…,μs-1) by one of the stochastic s-convex extrema, is then given. Using standard ideas from linear regression, we derive Tchebycheff-type inequalities which extend previous results of Lindsay (1989b), and we establish some limit theorems involving the moment matrices. Finally, we describe some applications in insurance theory, namely, we provide bounds on Lundberg's coefficient in risk theory, and on the actual interest rate relating to a life insurance policy. These bounds are obtained with the aid of the s-convex extrema, and are determined only by the support and the first few moments of the underlying distribution.

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law of large numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreducibility condition.

We study the probability theory of countable dense random subsets of (uncountably infinite) Polish spaces. It is shown that if such a set is stationary with respect to a transitive (locally compact) group of symmetries then any event which concerns the random set itself (rather than accidental details of its construction) must have probability zero or one. Indeed the result requires only quasi-stationarity (null-events stay null under the group action). In passing, it is noted that the property of being countable does not correspond to a measurable subset of the space of subsets of an uncountably infinite Polish space.

For several common parent laws, the number of vertices of a sample convex hull follows a kind of law of large numbers. We exhibit an example of a parent law which contradicts a general conjecture about this matter.

In, Tory and Pickard show that a simple subclass of unilateral AR processes identifies with Gaussian Pickard random fields on Z2. First, we extend this result to the whole class of unilateral AR processes, by showing that they all satisfy a Pickard-type property, under which correlation matching and maximum entropy properties are assessed. Then, it is established that the Pickard property provides the ‘missing’ equations that complement the two-dimensional Yule-Walker equations, in the sense that the conjunction defines a one-to-one mapping between the set of AR parameters and a set of correlations. It also implies Markov chain conditions that allow exact evaluation of the likelihood and an exact sampling scheme on finite lattices.

Suppose X1,X2 are independent random variables satisfying a second-order regular variation condition on the tail-sum and a balance condition on the tails. In this paper we give a description of the asymptotic behaviour as t → ∞ for P(X1 + X2 > t). The result is applied to the problem of risk diversification in portfolio analysis and to the estimation of the parameter in a MA(1) model.

We identify the Fréchet mean shape with respect to the Riemannian metric of a class of probability measures on Bookstein's shape space of labelled triangles and show, in contrast to the case of Kendall's shape space, that the Fréchet mean shape of the probability measure on Bookstein's shape space induced from independent normal distributions on vertices, having the same covariance matrix σ2I2, is not necessarily the shape of the means.

In the statistical analysis of random sets, it is useful to have simple statistics that can be used to describe the realizations of these sets. The cumulants and several other standardized moments such as the correlation and second cumulant can be used for this purpose, but their estimators can be excessively variable if the most straightforward estimation strategy is used. Through exploitation of similarities between this estimation problem and a similar one for a point process statistic, two modifications are proposed. Analytical results concerning the effects of these modifications are found through use of a specialized asymptotic regime. Simulation results establish that the modifications are highly effective at reducing estimator standard deviations for Boolean models. The results suggest that the reductions in variance result from a balanced use of information in the estimation of the first and second moments, through eliminating the use of observations that are not used in second moment estimation.

A duality is presented for continuous-time, real-valued, monotone, stochastic recursions driven by processes with stationary increments. A given recursion defines the time evolution of a content process (such as a dam or queue), and it is shown that the existence of the content process implies the existence of a corresponding dual risk process that satisfies a dual recursion. The one-point probabilities for the content process are then shown to be related to the one-point probabilities of the risk process. In particular, it is shown that the steady-state probabilities for the content process are equivalent to the first passage time probabilities for the risk process. A number of applications are presented that flesh out the general theory. Examples include regulated processes with one or two barriers, storage models with general release rate, and jump and diffusion processes.

We consider a birth and growth model where points (‘seeds’) arrive on a line randomly in time and space and proceed to ‘cover’ the line by growing at a uniform rate in both directions until an opposing branch is met; points which arrive on covered parts of the line do not contribute to the process. Existing results concerning the number of seeds assume that points arrive according to a Poisson process, homogeneous on the line, but possibly inhomogeneous in time. We derive results under less stringent assumptions, namely that the arrival process be a stationary simple point process.

We study the variance-to-mean ratio of the distributions of parasites among hosts for some models of parasite infection, using the cohort approach. We consider a model with density dependence in parasite mortality, and two different formulations of disease induced host mortality. We show that the distributions of parasites, conditional on host survival, converge to quasi-stationary distributions as host age increases. When there is density dependence in parasite mortality, the limiting variance-to-mean ratio is less than 1 (an ‘under-dispersed’ distribution). In contrast, the two modes of disease induced host mortality show that either over- or underdispersed distributions may result.

The intensity of a stationary process of k-dimensional affine subspaces (k-flats) of ℝd with directional distribution from a given family R is estimated by observing the process in a compact window. To this end we introduce a type of unbiased estimator (the R-estimator) using the available information about the directional distribution.

Special cases are estimators for the intensity of stationary k-flat processes (1) with known directional distribution, (2) with directional distribution invariant with respect to a subgroup of the group of rotations in ℝd and (3) with unknown directional distribution.

We give sufficient conditions for the R-estimator to be the uniformly best unbiased estimator for the intensity of stationary Poisson k-flat processes with directional distribution in R. Equivalent statements for certain types of stationary Cox flat processes can be deduced directly from the results in the Poisson case.

Moreover, we consider stationary ergodic flat processes with directional distribution in R and general stationary flat processes with unknown directional distribution, all with a non-degeneracy property. In both cases our estimator turns out to be the uniformly best unbiased estimator from a restricted set of estimators. The result for general stationary flat processes is proved with the help of a factorization result for the second factorial moment measure.

The authors prove that certain reliability formulas which link asymptotic availability, mean normal operation time, mean time between failures, mean number of failures over a period of time and asymptotic Vesely rate, and which are well known in the case of modelling using a Markov jump process or an alternating renewal process, are also true in the context of more general modelling.

We formulate and verify an almost-sure lattice renewal theorem for branching random walks, whose non-lattice analogue is originally due to Nerman. We also identify the limit in these renewal theorems (both lattice and non-lattice) as the limit of Kingman's well-known martingale multiplied by a deterministic factor.

In 1991 Perkins [7] showed that the normalized critical binary branching process is a time inhomogeneous Fleming-Viot process. In the present paper we extend this result to jump-type branching processes and we show that the normalized jump-type branching processes are in a new class of probability measure-valued processes which will be called ‘jump-type Fleming-Viot processes’. Furthermore we also show that by using these processes it is possible to introduce another new class of measure-valued processes which are obtained by the combination of jump-type branching processes and Fleming-Viot processes.

For a stationary long-range dependent point process N(.) with Palm distribution P0, the Hurst index H ≡ sup{h : lim sup t→∞t-2h var N(0,t] = ∞} is related to the moment index κ ≡ sup{k : E0(Tk) < ∞} of a generic stationary interval T between points (E0 denotes expectation with respect to P0) by 2H + κ ≥ 3, it being known that equality holds for a stationary renewal process. Thus, a stationary point process for which κ < 2 is necessarily long-range dependent with Hurst index greater than ½. An extended example of a Wold process shows that a stationary point process can be both long-range count dependent and long-range interval dependent and have finite mean square interval length, i.e., E0(T2) < ∞.

We consider a device that is subject to three types of failures: repairable, non-repairable and failures due to wear-out. This last type is also non-repairable. The times when the system is operative or being repaired follow phase type distributions. When a repairable failure occurs, the operating time of the device decreases, in that the lifetimes between failures are stochastically decreasing according to a geometric process. Following a non-repairable failure or after a previously fixed number of repairs occurs, the device is replaced by a new one. Under these conditions, the functioning of the device can be modelled by a Markov process. We consider two different models depending on whether or not the phase of the operational system at the instants of failure is remembered or not. For both models we derive the stationary distribution of the Markov process, the availability of the device, the rate of occurrence of the different types of failures, and certain quantities of interest.

Consider a branching random walk in which each particle has a random number (one or more) of offspring particles that are displaced independently of each other according to a logconcave density. Under mild additional assumptions, we obtain the following results: the minimal position in the nth generation, adjusted by its α-quantile, converges weakly to a non-degenerate limiting distribution. There also exists a ‘conditional limit’ of the adjusted minimal position, which has a (Gumbel) extreme value distribution delayed by a random time-lag. Consequently, the unconditional limiting distribution is a mixture of extreme value distributions.

For continuous-time Markov chains with semigroups P, P' taking values in a partially ordered set, such that P ≤ stP', we show the existence of an order-preserving Markovian coupling and give a way to construct it. From our proof, we also obtain the conditions of Brandt and Last for stochastic domination in terms of the associated intensity matrices. Our result is applied to get necessary and sufficient conditions for the existence of Markovian couplings between two Jackson networks.

Two features are desired in designing a sequential clinical trial: randomness and balance. The former makes the ground for valid statistical inferences and the latter strengthens efficiency in inference procedures. Unfortunately randomness and balance can be in conflict with one another, and clinicians may be caught between the need for both of them. This paper raises an interesting question: can one design consistently achieve more balance than another when both designs own the same randomness? The Ehrenfest urn design is presented to allocate two treatments under a sequential clinical trial, and its balance and randomness properties are investigated. The design is compared with the biased coin design with imbalance tolerance.