Journal of Applied Probability: Volume 41 -

A Brownian motion with two reflecting barriers and Markov-modulated speed
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Offer Kella, Wolfgang Stadje
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14 July 2016, pp. 1237-1242
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We consider a Brownian motion with time-reversible Markov-modulated speed and two reflecting barriers. A methodology depending on a certain multidimensional martingale together with some linear algebra is applied in order to explicitly compute the stationary distribution of the joint process of the content level and the state of the underlying Markov chain. It is shown that the stationary distribution is such that the two quantities are independent. The long-run average push at the two barriers at each of the states is also computed.

On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
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- Linear inference, regression
Shuangzhe Liu
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14 July 2016, pp. 393-405
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In statistical diagnostics and sensitivity analysis, the local influence method plays an important rôle. In the present paper, we use this method to study financial time series data and conditionally heteroskedastic models under elliptical distributions. We start with a likelihood displacement, and consider data- and model-perturbation schemes. We obtain corresponding matrices of derivatives, and measures of slope and normal curvature, and then discuss the assessment of local influence.

A note on the ageing character of the run length of Markov-type quality-control schemes
Manuel Cabral Morais, António Pacheco
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14 July 2016, pp. 1243-1247
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Contributors
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14 July 2016, pp. 407-410
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Index
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14 July 2016, pp. 411-414
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Correction
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14 July 2016, pp. 1248-1249
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JPR volume 41 issue A Cover and Front matter
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14 July 2016, pp. f1-f8
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Journal of Applied Probability Volume 41 (2004): Index
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14 July 2016, pp. 1250-1254
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JPR volume 41 issue 4 Cover and Front matter
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14 July 2016, pp. f1-f6
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JPR volume 41 issue A Cover and Back matter
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14 July 2016, p. b1
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JPR volume 41 issue 4 Cover and Back matter
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14 July 2016, pp. b1-b2
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Journal of Applied Probability

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Volume 41 - September 2004

Short Communications

A Brownian motion with two reflecting barriers and Markov-modulated speed

Part 7. Time series analysis

On diagnostics in conditionally heteroskedastic time series models under elliptical distributions

Letter to the Editor

A note on the ageing character of the run length of Markov-type quality-control schemes

Other

Contributors

Index

Correction

Correction

Front matter

JPR volume 41 issue A Cover and Front matter

Other

Journal of Applied Probability Volume 41 (2004): Index

Front matter

JPR volume 41 issue 4 Cover and Front matter

Back matter

JPR volume 41 issue A Cover and Back matter

JPR volume 41 issue 4 Cover and Back matter

Journal of Applied Probability

Refine listing

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Volume 41 - September 2004

Short Communications

Part 7. Time series analysis

Letter to the Editor

Other

Correction

Front matter

Other

Front matter

Back matter