Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
  1. Home
  2. Search

Refine search

Refine search

Access:
Content type:
Publication date:
Apply   From and To filters
Subject: Show more
Journals Show more
Publishers: Show more
Societies Show more
Series: Show more
Collections: Show more

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
Cancel
×

2 results

  • An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit

  • Part of
  • Richard Finlay, Eugene Seneta, Dingcheng Wang
  • Journal:
    Journal of Applied Probability / Volume 49 / Issue 2 / June 2012
    Published online by Cambridge University Press:
    04 February 2016, pp. 441-450
    Print publication:
    June 2012
    • Article
      • You have access
    • PDF
    • Export citation

  • We construct a process with inverse gamma increments and an asymptotically self-similar limit. This construction supports the use of long-range-dependent t subordinator models for actual financial data as advocated in Heyde and Leonenko (2005), in that it allows for noninteger-valued model parameters, as is found empirically in model estimation from data.

  • On Two Damage Accumulation Models and Their Size Effects

  • Part of
  • F. Ballani, D. Stoyan, S. Wolf
  • Journal:
    Journal of Applied Probability / Volume 44 / Issue 1 / March 2007
    Published online by Cambridge University Press:
    14 July 2016, pp. 99-114
    Print publication:
    March 2007
    • Article
      • You have access
    • PDF
    • Export citation

  • Two cumulative damage models are considered, the inverse gamma process and a composed gamma process. They can be seen as ‘continuous’ analogues of Poisson and compound Poisson processes, respectively. For these models the first passage time distribution functions are derived. Inhomogeneous versions of these processes lead to models closely related to the Weibull failure model. All models show interesting size effects.