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Publisher: John Wiley and Sons   (Total: 1583 journals)

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Showing 1 - 200 of 1583 Journals sorted alphabetically
Abacus     Hybrid Journal   (Followers: 12, SJR: 0.48, h-index: 22)
About Campus     Hybrid Journal   (Followers: 5)
Academic Emergency Medicine     Hybrid Journal   (Followers: 54, SJR: 1.385, h-index: 91)
Accounting & Finance     Hybrid Journal   (Followers: 44, SJR: 0.547, h-index: 30)
ACEP NOW     Free  
Acta Anaesthesiologica Scandinavica     Hybrid Journal   (Followers: 50, SJR: 1.02, h-index: 88)
Acta Archaeologica     Hybrid Journal   (Followers: 142, SJR: 0.101, h-index: 9)
Acta Geologica Sinica (English Edition)     Hybrid Journal   (Followers: 3, SJR: 0.552, h-index: 41)
Acta Neurologica Scandinavica     Hybrid Journal   (Followers: 5, SJR: 1.203, h-index: 74)
Acta Obstetricia et Gynecologica Scandinavica     Hybrid Journal   (Followers: 15, SJR: 1.197, h-index: 81)
Acta Ophthalmologica     Hybrid Journal   (Followers: 5, SJR: 0.112, h-index: 1)
Acta Paediatrica     Hybrid Journal   (Followers: 54, SJR: 0.794, h-index: 88)
Acta Physiologica     Hybrid Journal   (Followers: 7, SJR: 1.69, h-index: 88)
Acta Polymerica     Hybrid Journal   (Followers: 9)
Acta Psychiatrica Scandinavica     Hybrid Journal   (Followers: 35, SJR: 2.518, h-index: 113)
Acta Zoologica     Hybrid Journal   (Followers: 5, SJR: 0.459, h-index: 29)
Acute Medicine & Surgery     Hybrid Journal   (Followers: 2)
Addiction     Hybrid Journal   (Followers: 31, SJR: 2.086, h-index: 143)
Addiction Biology     Hybrid Journal   (Followers: 11, SJR: 2.091, h-index: 57)
Adultspan J.     Hybrid Journal   (SJR: 0.127, h-index: 4)
Advanced Energy Materials     Hybrid Journal   (Followers: 24, SJR: 6.411, h-index: 86)
Advanced Engineering Materials     Hybrid Journal   (Followers: 25, SJR: 0.81, h-index: 81)
Advanced Functional Materials     Hybrid Journal   (Followers: 49, SJR: 5.21, h-index: 203)
Advanced Healthcare Materials     Hybrid Journal   (Followers: 13, SJR: 0.232, h-index: 7)
Advanced Materials     Hybrid Journal   (Followers: 251, SJR: 9.021, h-index: 345)
Advanced Materials Interfaces     Hybrid Journal   (Followers: 6, SJR: 1.177, h-index: 10)
Advanced Optical Materials     Hybrid Journal   (Followers: 5, SJR: 2.488, h-index: 21)
Advanced Science     Open Access   (Followers: 4)
Advanced Synthesis & Catalysis     Hybrid Journal   (Followers: 17, SJR: 2.729, h-index: 121)
Advances in Polymer Technology     Hybrid Journal   (Followers: 13, SJR: 0.344, h-index: 31)
Africa Confidential     Hybrid Journal   (Followers: 19)
Africa Research Bulletin: Economic, Financial and Technical Series     Hybrid Journal   (Followers: 12)
Africa Research Bulletin: Political, Social and Cultural Series     Hybrid Journal   (Followers: 9)
African Development Review     Hybrid Journal   (Followers: 33, SJR: 0.275, h-index: 17)
African J. of Ecology     Hybrid Journal   (Followers: 14, SJR: 0.477, h-index: 39)
Aggressive Behavior     Hybrid Journal   (Followers: 15, SJR: 1.391, h-index: 66)
Aging Cell     Open Access   (Followers: 9, SJR: 4.374, h-index: 95)
Agribusiness : an Intl. J.     Hybrid Journal   (Followers: 6, SJR: 0.627, h-index: 14)
Agricultural and Forest Entomology     Hybrid Journal   (Followers: 14, SJR: 0.925, h-index: 43)
Agricultural Economics     Hybrid Journal   (Followers: 44, SJR: 1.099, h-index: 51)
AIChE J.     Hybrid Journal   (Followers: 29, SJR: 1.122, h-index: 120)
Alcoholism and Drug Abuse Weekly     Hybrid Journal   (Followers: 7)
Alcoholism Clinical and Experimental Research     Hybrid Journal   (Followers: 7, SJR: 1.416, h-index: 125)
Alimentary Pharmacology & Therapeutics     Hybrid Journal   (Followers: 34, SJR: 2.833, h-index: 138)
Alimentary Pharmacology & Therapeutics Symposium Series     Hybrid Journal   (Followers: 3)
Allergy     Hybrid Journal   (Followers: 49, SJR: 3.048, h-index: 129)
Alternatives to the High Cost of Litigation     Hybrid Journal   (Followers: 3)
American Anthropologist     Hybrid Journal   (Followers: 128, SJR: 0.951, h-index: 61)
American Business Law J.     Hybrid Journal   (Followers: 24, SJR: 0.205, h-index: 17)
American Ethnologist     Hybrid Journal   (Followers: 90, SJR: 2.325, h-index: 51)
American J. of Economics and Sociology     Hybrid Journal   (Followers: 28, SJR: 0.211, h-index: 26)
American J. of Hematology     Hybrid Journal   (Followers: 31, SJR: 1.761, h-index: 77)
American J. of Human Biology     Hybrid Journal   (Followers: 12, SJR: 1.018, h-index: 58)
American J. of Industrial Medicine     Hybrid Journal   (Followers: 16, SJR: 0.993, h-index: 85)
American J. of Medical Genetics Part A     Hybrid Journal   (Followers: 15, SJR: 1.115, h-index: 61)
American J. of Medical Genetics Part B: Neuropsychiatric Genetics     Hybrid Journal   (Followers: 3, SJR: 1.771, h-index: 107)
American J. of Medical Genetics Part C: Seminars in Medical Genetics     Partially Free   (Followers: 5, SJR: 2.315, h-index: 79)
American J. of Orthopsychiatry     Hybrid Journal   (Followers: 4, SJR: 0.756, h-index: 69)
American J. of Physical Anthropology     Hybrid Journal   (Followers: 36, SJR: 1.41, h-index: 88)
American J. of Political Science     Hybrid Journal   (Followers: 249, SJR: 5.101, h-index: 114)
American J. of Primatology     Hybrid Journal   (Followers: 15, SJR: 1.197, h-index: 63)
American J. of Reproductive Immunology     Hybrid Journal   (Followers: 3, SJR: 1.347, h-index: 75)
American J. of Transplantation     Hybrid Journal   (Followers: 15, SJR: 2.792, h-index: 140)
American J. on Addictions     Hybrid Journal   (Followers: 9, SJR: 0.843, h-index: 57)
Anaesthesia     Hybrid Journal   (Followers: 116, SJR: 1.404, h-index: 88)
Analyses of Social Issues and Public Policy     Hybrid Journal   (Followers: 11, SJR: 0.397, h-index: 18)
Analytic Philosophy     Hybrid Journal   (Followers: 16)
Anatomia, Histologia, Embryologia: J. of Veterinary Medicine Series C     Hybrid Journal   (Followers: 3, SJR: 0.295, h-index: 27)
Anatomical Sciences Education     Hybrid Journal   (Followers: 1, SJR: 0.633, h-index: 24)
Andrologia     Hybrid Journal   (Followers: 2, SJR: 0.528, h-index: 45)
Andrology     Hybrid Journal   (Followers: 2, SJR: 0.979, h-index: 14)
Angewandte Chemie     Hybrid Journal   (Followers: 155)
Angewandte Chemie Intl. Edition     Hybrid Journal   (Followers: 211, SJR: 6.229, h-index: 397)
Animal Conservation     Hybrid Journal   (Followers: 34, SJR: 1.576, h-index: 62)
Animal Genetics     Hybrid Journal   (Followers: 8, SJR: 0.957, h-index: 67)
Animal Science J.     Hybrid Journal   (Followers: 6, SJR: 0.569, h-index: 24)
Annalen der Physik     Hybrid Journal   (Followers: 5, SJR: 1.46, h-index: 40)
Annals of Anthropological Practice     Partially Free   (Followers: 2, SJR: 0.187, h-index: 5)
Annals of Applied Biology     Hybrid Journal   (Followers: 8, SJR: 0.816, h-index: 56)
Annals of Clinical and Translational Neurology     Open Access   (Followers: 1)
Annals of Human Genetics     Hybrid Journal   (Followers: 9, SJR: 1.191, h-index: 67)
Annals of Neurology     Hybrid Journal   (Followers: 43, SJR: 5.584, h-index: 241)
Annals of Noninvasive Electrocardiology     Hybrid Journal   (Followers: 2, SJR: 0.531, h-index: 38)
Annals of Public and Cooperative Economics     Hybrid Journal   (Followers: 9, SJR: 0.336, h-index: 23)
Annals of the New York Academy of Sciences     Hybrid Journal   (Followers: 5, SJR: 2.389, h-index: 189)
Annual Bulletin of Historical Literature     Hybrid Journal   (Followers: 12)
Annual Review of Information Science and Technology     Hybrid Journal   (Followers: 14)
Anthropology & Education Quarterly     Hybrid Journal   (Followers: 24, SJR: 0.72, h-index: 31)
Anthropology & Humanism     Hybrid Journal   (Followers: 16, SJR: 0.137, h-index: 3)
Anthropology News     Hybrid Journal   (Followers: 14)
Anthropology of Consciousness     Hybrid Journal   (Followers: 11, SJR: 0.172, h-index: 5)
Anthropology of Work Review     Hybrid Journal   (Followers: 11, SJR: 0.256, h-index: 5)
Anthropology Today     Hybrid Journal   (Followers: 93, SJR: 0.545, h-index: 15)
Antipode     Hybrid Journal   (Followers: 44, SJR: 2.212, h-index: 69)
Anz J. of Surgery     Hybrid Journal   (Followers: 6, SJR: 0.432, h-index: 59)
Anzeiger für Schädlingskunde     Hybrid Journal   (Followers: 1)
Apmis     Hybrid Journal   (Followers: 1, SJR: 0.855, h-index: 73)
Applied Cognitive Psychology     Hybrid Journal   (Followers: 67, SJR: 0.754, h-index: 69)
Applied Organometallic Chemistry     Hybrid Journal   (Followers: 7, SJR: 0.632, h-index: 58)
Applied Psychology     Hybrid Journal   (Followers: 138, SJR: 1.023, h-index: 64)
Applied Psychology: Health and Well-Being     Hybrid Journal   (Followers: 48, SJR: 0.868, h-index: 13)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5, SJR: 0.613, h-index: 24)
Aquaculture Nutrition     Hybrid Journal   (Followers: 13, SJR: 1.025, h-index: 55)
Aquaculture Research     Hybrid Journal   (Followers: 31, SJR: 0.807, h-index: 60)
Aquatic Conservation Marine and Freshwater Ecosystems     Hybrid Journal   (Followers: 34, SJR: 1.047, h-index: 57)
Arabian Archaeology and Epigraphy     Hybrid Journal   (Followers: 11, SJR: 0.453, h-index: 11)
Archaeological Prospection     Hybrid Journal   (Followers: 12, SJR: 0.922, h-index: 21)
Archaeology in Oceania     Hybrid Journal   (Followers: 13, SJR: 0.745, h-index: 18)
Archaeometry     Hybrid Journal   (Followers: 27, SJR: 0.809, h-index: 48)
Archeological Papers of The American Anthropological Association     Hybrid Journal   (Followers: 14, SJR: 0.156, h-index: 2)
Architectural Design     Hybrid Journal   (Followers: 25, SJR: 0.261, h-index: 9)
Archiv der Pharmazie     Hybrid Journal   (Followers: 4, SJR: 0.628, h-index: 43)
Archives of Drug Information     Hybrid Journal   (Followers: 4)
Archives of Insect Biochemistry and Physiology     Hybrid Journal   (SJR: 0.768, h-index: 54)
Area     Hybrid Journal   (Followers: 12, SJR: 0.938, h-index: 57)
Art History     Hybrid Journal   (Followers: 215, SJR: 0.153, h-index: 13)
Arthritis & Rheumatology     Hybrid Journal   (Followers: 49, SJR: 1.984, h-index: 20)
Arthritis Care & Research     Hybrid Journal   (Followers: 28, SJR: 2.256, h-index: 114)
Artificial Organs     Hybrid Journal   (Followers: 1, SJR: 0.872, h-index: 60)
ASHE Higher Education Reports     Hybrid Journal   (Followers: 14)
Asia & the Pacific Policy Studies     Open Access   (Followers: 14)
Asia Pacific J. of Human Resources     Hybrid Journal   (Followers: 312, SJR: 0.494, h-index: 19)
Asia Pacific Viewpoint     Hybrid Journal   (SJR: 0.616, h-index: 26)
Asia-Pacific J. of Chemical Engineering     Hybrid Journal   (Followers: 7, SJR: 0.345, h-index: 20)
Asia-pacific J. of Clinical Oncology     Hybrid Journal   (Followers: 6, SJR: 0.554, h-index: 14)
Asia-Pacific J. of Financial Studies     Hybrid Journal   (SJR: 0.241, h-index: 7)
Asia-Pacific Psychiatry     Hybrid Journal   (Followers: 3, SJR: 0.377, h-index: 7)
Asian Economic J.     Hybrid Journal   (Followers: 8, SJR: 0.234, h-index: 21)
Asian Economic Policy Review     Hybrid Journal   (Followers: 3, SJR: 0.196, h-index: 12)
Asian J. of Control     Hybrid Journal   (SJR: 0.862, h-index: 34)
Asian J. of Endoscopic Surgery     Hybrid Journal   (SJR: 0.394, h-index: 7)
Asian J. of Organic Chemistry     Hybrid Journal   (Followers: 4, SJR: 1.443, h-index: 19)
Asian J. of Social Psychology     Hybrid Journal   (Followers: 5, SJR: 0.665, h-index: 37)
Asian Politics and Policy     Hybrid Journal   (Followers: 13, SJR: 0.207, h-index: 7)
Asian Social Work and Policy Review     Hybrid Journal   (Followers: 5, SJR: 0.318, h-index: 5)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5, SJR: 0.168, h-index: 15)
Assessment Update     Hybrid Journal   (Followers: 4)
Astronomische Nachrichten     Hybrid Journal   (Followers: 2, SJR: 0.701, h-index: 40)
Atmospheric Science Letters     Open Access   (Followers: 29, SJR: 1.332, h-index: 27)
Austral Ecology     Hybrid Journal   (Followers: 12, SJR: 1.095, h-index: 66)
Austral Entomology     Hybrid Journal   (Followers: 10, SJR: 0.524, h-index: 28)
Australasian J. of Dermatology     Hybrid Journal   (Followers: 8, SJR: 0.714, h-index: 40)
Australasian J. On Ageing     Hybrid Journal   (Followers: 7, SJR: 0.39, h-index: 22)
Australian & New Zealand J. of Statistics     Hybrid Journal   (Followers: 13, SJR: 0.275, h-index: 28)
Australian Accounting Review     Hybrid Journal   (Followers: 4, SJR: 0.709, h-index: 14)
Australian and New Zealand J. of Family Therapy (ANZJFT)     Hybrid Journal   (Followers: 3, SJR: 0.382, h-index: 12)
Australian and New Zealand J. of Obstetrics and Gynaecology     Hybrid Journal   (Followers: 43, SJR: 0.814, h-index: 49)
Australian and New Zealand J. of Public Health     Hybrid Journal   (Followers: 11, SJR: 0.82, h-index: 62)
Australian Dental J.     Hybrid Journal   (Followers: 6, SJR: 0.482, h-index: 46)
Australian Economic History Review     Hybrid Journal   (Followers: 4, SJR: 0.171, h-index: 12)
Australian Economic Papers     Hybrid Journal   (Followers: 22, SJR: 0.23, h-index: 9)
Australian Economic Review     Hybrid Journal   (Followers: 6, SJR: 0.357, h-index: 21)
Australian Endodontic J.     Hybrid Journal   (Followers: 3, SJR: 0.513, h-index: 24)
Australian J. of Agricultural and Resource Economics     Hybrid Journal   (Followers: 3, SJR: 0.765, h-index: 36)
Australian J. of Grape and Wine Research     Hybrid Journal   (Followers: 5, SJR: 0.879, h-index: 56)
Australian J. of Politics & History     Hybrid Journal   (Followers: 13, SJR: 0.203, h-index: 14)
Australian J. of Psychology     Hybrid Journal   (Followers: 17, SJR: 0.384, h-index: 30)
Australian J. of Public Administration     Hybrid Journal   (Followers: 385, SJR: 0.418, h-index: 29)
Australian J. of Rural Health     Hybrid Journal   (Followers: 4, SJR: 0.43, h-index: 34)
Australian Occupational Therapy J.     Hybrid Journal   (Followers: 66, SJR: 0.59, h-index: 29)
Australian Psychologist     Hybrid Journal   (Followers: 11, SJR: 0.331, h-index: 31)
Australian Veterinary J.     Hybrid Journal   (Followers: 19, SJR: 0.459, h-index: 45)
Autism Research     Hybrid Journal   (Followers: 31, SJR: 2.126, h-index: 39)
Autonomic & Autacoid Pharmacology     Hybrid Journal   (SJR: 0.371, h-index: 29)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
Basic & Clinical Pharmacology & Toxicology     Hybrid Journal   (Followers: 10, SJR: 0.539, h-index: 70)
Basic and Applied Pathology     Open Access   (Followers: 2, SJR: 0.113, h-index: 4)
Basin Research     Hybrid Journal   (Followers: 3, SJR: 1.54, h-index: 60)
Bauphysik     Hybrid Journal   (Followers: 2, SJR: 0.194, h-index: 5)
Bauregelliste A, Bauregelliste B Und Liste C     Hybrid Journal  
Bautechnik     Hybrid Journal   (Followers: 1, SJR: 0.321, h-index: 11)
Behavioral Interventions     Hybrid Journal   (Followers: 8, SJR: 0.297, h-index: 23)
Behavioral Sciences & the Law     Hybrid Journal   (Followers: 23, SJR: 0.736, h-index: 57)
Berichte Zur Wissenschaftsgeschichte     Hybrid Journal   (Followers: 9, SJR: 0.11, h-index: 5)
Beton- und Stahlbetonbau     Hybrid Journal   (Followers: 2, SJR: 0.493, h-index: 14)
Biochemistry and Molecular Biology Education     Hybrid Journal   (Followers: 6, SJR: 0.311, h-index: 26)
Bioelectromagnetics     Hybrid Journal   (Followers: 1, SJR: 0.568, h-index: 64)
Bioengineering & Translational Medicine     Open Access  
BioEssays     Hybrid Journal   (Followers: 10, SJR: 3.104, h-index: 155)
Bioethics     Hybrid Journal   (Followers: 14, SJR: 0.686, h-index: 39)
Biofuels, Bioproducts and Biorefining     Hybrid Journal   (Followers: 1, SJR: 1.725, h-index: 56)
Biological J. of the Linnean Society     Hybrid Journal   (Followers: 14, SJR: 1.172, h-index: 90)
Biological Reviews     Hybrid Journal   (Followers: 3, SJR: 6.469, h-index: 114)
Biologie in Unserer Zeit (Biuz)     Hybrid Journal   (Followers: 42, SJR: 0.12, h-index: 1)
Biology of the Cell     Full-text available via subscription   (Followers: 9, SJR: 1.812, h-index: 69)
Biomedical Chromatography     Hybrid Journal   (Followers: 6, SJR: 0.572, h-index: 49)
Biometrical J.     Hybrid Journal   (Followers: 5, SJR: 0.784, h-index: 44)
Biometrics     Hybrid Journal   (Followers: 36, SJR: 1.906, h-index: 96)
Biopharmaceutics and Drug Disposition     Hybrid Journal   (Followers: 10, SJR: 0.715, h-index: 44)
Biopolymers     Hybrid Journal   (Followers: 18, SJR: 1.199, h-index: 104)
Biotechnology and Applied Biochemistry     Hybrid Journal   (Followers: 45, SJR: 0.415, h-index: 55)
Biotechnology and Bioengineering     Hybrid Journal   (Followers: 137, SJR: 1.633, h-index: 146)
Biotechnology J.     Hybrid Journal   (Followers: 13, SJR: 1.185, h-index: 51)
Biotechnology Progress     Hybrid Journal   (Followers: 39, SJR: 0.736, h-index: 101)
Biotropica     Hybrid Journal   (Followers: 18, SJR: 1.374, h-index: 71)
Bipolar Disorders     Hybrid Journal   (Followers: 10, SJR: 2.592, h-index: 100)
Birth     Hybrid Journal   (Followers: 34, SJR: 0.763, h-index: 64)
Birth Defects Research Part A : Clinical and Molecular Teratology     Hybrid Journal   (Followers: 2, SJR: 0.727, h-index: 77)
Birth Defects Research Part B: Developmental and Reproductive Toxicology     Hybrid Journal   (Followers: 5, SJR: 0.468, h-index: 47)
Birth Defects Research Part C : Embryo Today : Reviews     Hybrid Journal   (SJR: 1.513, h-index: 55)

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Journal Cover Applied Stochastic Models in Business and Industry
  [SJR: 0.613]   [H-I: 24]   [5 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1524-1904 - ISSN (Online) 1526-4025
   Published by John Wiley and Sons Homepage  [1583 journals]
  • Sequential Bayesian learning for stochastic volatility with variance-gamma
           jumps in returns
    • Authors: Samir P. Warty; Hedibert F. Lopes, Nicholas G. Polson
      Abstract: In this work, we investigate sequential Bayesian estimation for inference of stochastic volatility with variance-gamma (SVVG) jumps in returns. We develop an estimation algorithm that combines the sequential learning auxiliary particle filter with the particle learning filter. Simulation evidence and empirical estimation results indicate that this approach is able to filter latent variances, identify latent jumps in returns, and provide sequential learning about the static parameters of SVVG. We demonstrate comparative performance of the sequential algorithm and off-line Markov Chain Monte Carlo in synthetic and real data applications.
      PubDate: 2017-06-21T03:26:48.533604-05:
      DOI: 10.1002/asmb.2258
       
  • Two stochastic dominance criteria based on tail comparisons
    • Authors: Julio Mulero; Miguel A. Sordo, Marilia C. de Souza, Alfonso Suárez-LLorens
      Abstract: Actuarial risks and financial asset returns are typically heavy tailed. In this paper, we introduce 2 stochastic dominance criteria, called the right-tail order and the left-tail order, to compare these variables stochastically. The criteria are based on comparisons of expected utilities, for 2 classes of utility functions that give more weight to the right or the left tail (depending on the context) of the distributions. We study their properties, applications, and connections with other classical criteria, including the increasing convex and the second-order stochastic dominance. Finally, we rank some parametric families of distributions and provide empirical evidence of the new stochastic dominance criteria with an example using real data.
      PubDate: 2017-06-19T00:21:00.010155-05:
      DOI: 10.1002/asmb.2260
       
  • Some closed form robust moment-based estimators for the MEM(1,1)
    • Authors: Wanbo Lu; Rui Ke
      Abstract: In this paper, we extend the closed form moment estimator (ordinary MCFE) for the autoregressive conditional duration model given by Lu et al (2016) and propose some closed form robust moment-based estimators for the multiplicative error model to deal with the additive and innovational outliers. The robustification of the closed form estimator is done by replacing the sample mean and sample autocorrelation with some robust estimators. These estimators are more robust than the quasi-maximum likelihood estimator (QMLE) often used to estimate this model, and they are easy to implement and do not require the use of any numerical optimization procedure and the choice of initial value. The performance of our proposal in estimating the parameters and forecasting conditional mean μt of the MEM(1,1) process is compared with the proposals existing in the literature via Monte Carlo experiments, and the results of these experiments show that our proposal outperforms the ordinary MCFE, QMLE, and least absolute deviation estimator in the presence of outliers in general. Finally, we fit the price durations of IBM stock with the robust closed form estimators and the benchmarks and analyze their performances in estimating model parameters and forecasting the irregularly spaced intraday Value at Risk.
      PubDate: 2017-06-19T00:16:35.174062-05:
      DOI: 10.1002/asmb.2259
       
  • Augmented probability simulation for accelerated life test design
    • Authors: Nicholas G. Polson; Refik Soyer
      Abstract: Designing accelerated life tests presents a number of conceptual and computational challenges. We propose a Bayesian decision-theoretic approach for selecting an optimal stress-testing schedule and develop an augmented probability simulation approach to obtain the optimal design. The notion of a ‘dual utility probability density’ enables us to invoke the concept of a conjugate utility function. For accelerated life tests, this allows us to construct an augmented probability simulation that simultaneously optimizes and calculates the expected utility. In doing so, we circumvent many of the computational difficulties associated with evaluating pre-posterior expected utilities. To illustrate our methodology, we consider a single-stage accelerated life test design; our approach naturally extends to multiple-stage designs. Finally, we conclude with suggestions for further research. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-05-19T05:58:13.087715-05:
      DOI: 10.1002/asmb.2256
       
  • Combining binomial test data via two-stage solutions
    • Authors: Janet Myhre; Daniel R. Jeske, Jun Li, Anne M. Hansen
      Abstract: A commonly occurring problem in reliability testing is how to combine pass/fail test data that is collected from disparate environments. We have worked with colleagues in aerospace engineering for a number of years where two types of test environments in use are ground tests and flight tests. Ground tests are less expensive and consequently more numerous. Flight tests are much less frequent, but directly reflect the actual usage environment. We discuss a relatively simple combining approach that realizes the benefit of a larger sample size by using ground test data, but at the same time accounts for the difference between the two environments. We compare our solution with what look like more sophisticated approaches to the problem in order to calibrate its limitations. Overall, we find that our proposed solution is robust to its inherent assumptions, which explains its usefulness in practice. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-05-12T00:23:45.008786-05:
      DOI: 10.1002/asmb.2255
       
  • Variance swaps under the threshold Ornstein–Uhlenbeck model
    • Authors: Fangyuan Dong; Hoi Ying Wong
      Abstract: Variance swap is a typical financial tool for managing volatility risk. In this paper, we evaluate different types of variance swaps under a threshold Ornstein–Uhlenbeck model, which exhibits both mean reversion and regime switching features in the underlying asset price. We derive the analytical solution for the joint moment generating function of log-asset prices at two distinct time points. This enables us to price various types of variance swaps analytically. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-05-05T01:06:03.815273-05:
      DOI: 10.1002/asmb.2252
       
  • Performance and reliability analysis of a repairable discrete-time Geo/G/1
           queue with Bernoulli feedback and randomized policy
    • Authors: Shaojun Lan; Yinghui Tang
      Abstract: This paper is concerned with a discrete-time Geo/G/1 repairable queueing system with Bernoulli feedback and randomized p,N-policy. The service station may be subject to failures randomly during serving customers and therefore is sent for repair immediately. The p,N-policy means that when the number of customers in the system reaches a given threshold value N, the deactivated server is turned on with probability p or is still left off with probability 1−p. Applying the law of total probability decomposition, the renewal theory and the probability generating function technique, we investigate the queueing performance measures and reliability indices simultaneously in our work. Both the transient queue length distribution and the recursive expressions of the steady-state queue length distribution at various epochs are explicitly derived. Meanwhile, the stochastic decomposition property is presented for the proposed model. Various reliability indices, including the transient and the steady-state unavailability of the service station, the expected number of the service station breakdowns during the time interval 0+,n+ and the equilibrium failure frequency of the service station are also discussed. Finally, an operating cost function is formulated, and the direct search method is employed to numerically find the optimum value of N for minimizing the system cost. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-04-26T02:56:12.334985-05:
      DOI: 10.1002/asmb.2253
       
  • Reduction of the bilevel stochastic optimization problem with quantile
           objective function to a mixed-integer problem
    • Authors: Stephan Dempe; Sergey Ivanov, Andrey Naumov
      Abstract: The paper is devoted to the stochastic optimistic bilevel optimization problem with quantile criterion in the upper level problem. If the probability distribution is finite, the problem can be transformed into a mixed-integer nonlinear optimization problem. We formulate assumptions guaranteeing that an optimal solution exists. A production planning problem is used to illustrate usefulness of the model. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-04-26T02:51:25.314749-05:
      DOI: 10.1002/asmb.2254
       
  • Computing optimum design parameters of a progressive type I interval
           censored life test from a cost model
    • Authors: Sonal Budhiraja; Biswabrata Pradhan
      Abstract: This work considers optimum design of a life testing experiment with progressive type I interval censoring. A cost minimization-based optimality criterion is proposed. The proposed cost function incorporates the cost of conducting the experiment, opportunity cost, and post-sale cost. It is shown that the proposed cost function is scale invariant for any lifetime distribution whose support does not depend on the parameters of the distribution. Weibull distribution is considered for illustration. Optimum solution is obtained by a suitable numerical method. A sensitivity analysis is undertaken to study the effect of small perturbations in lifetime model parameter values or cost coefficients. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-04-17T02:30:39.565682-05:
      DOI: 10.1002/asmb.2251
       
  • Optimization model to start harvesting in stochastic aquaculture system
    • Authors: Hidekazu Yoshioka; Yuta Yaegashi
      Abstract: Establishment of cost-effective management strategy of aquaculture is one of the most important issues in fishery science, which can be addressed with bio-economic mathematical modeling. This paper deals with the aforementioned issue using a stochastic process model for aquacultured non-renewable fishery resources from the viewpoint of an optimal stopping (timing) problem. The goal of operating the model is to find the optimal criteria to start harvesting the resources under stochastic environment, which turns out to be determined from the Bellman equation (BE). The BE has a separation of variables type structure and can be simplified to a reduced BE with a fewer degrees of freedom. Dependence of solutions to the original and reduced BEs on parameters and independent variables is analyzed from both analytical and numerical standpoints. Implications of the analysis results to management of aquaculture systems are presented as well. Numerical simulation focusing on aquacultured Plecoglossus altivelis in Japan validates the mathematical analysis results. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-04-07T04:02:13.79086-05:0
      DOI: 10.1002/asmb.2250
       
  • Unifying pricing formula for several stochastic volatility models with
           jumps
    • Authors: Falko Baustian; Milan Mrázek, Jan Pospíšil, Tomáš Sobotka
      Abstract: In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic volatility models with jumps. For European style options, a new semi-closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro-differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way.In particular, we focus on a log-normal and a log-uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out-of-the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-04-04T01:44:58.616327-05:
      DOI: 10.1002/asmb.2248
       
  • Unifying pricing formula for several stochastic volatility models with
           jumps
    • Authors: Falko Baustian; Milan Mrázek, Jan Pospíšil, Tomáš Sobotka
      Abstract: In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic volatility models with jumps. For European style options, a new semi-closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro-differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way.In particular, we focus on a log-normal and a log-uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out-of-the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-04-04T01:44:58.616327-05:
      DOI: 10.1002/asmb.2248
       
  • Combining Bayesian experimental designs and frequentist data analyses:
           motivations and examples
    • Authors: Steffen Ventz; Giovanni Parmigiani, Lorenzo Trippa
      Abstract: Recent developments in experimental designs for clinical trials are stimulated by advances in personalized medicine. Clinical trials today seek to answer several research questions for multiple patient subgroups. Bayesian designs, which enable the use of sound utilities and prior information, can be tailored to these settings. On the other hand, frequentist concepts of data analysis remain pivotal. For example, type I/II error rates are the accepted standards for reporting trial results and are required by regulatory agencies. Bayesian designs are often perceived as incompatible with these established concepts, which hinder widespread clinical applications. We discuss a pragmatic framework for combining Bayesian experimental designs with frequentists analyses. The approach seeks to facilitate a more widespread application of Bayesian experimental designs in clinical trials. We discuss several applications of this framework in different clinical settings, including bridging trials and multi-arm trials in infectious diseases and glioblastoma. We also outline computational algorithms for implementing the proposed approach. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-03-22T21:45:35.385296-05:
      DOI: 10.1002/asmb.2249
       
  • Component and system active redundancies for coherent systems with
           dependent components
    • Authors: Yiying Zhang; Ebrahim Amini-Seresht, Weiyong Ding
      Abstract: The prevailing engineering principle that redundancy at the component level is superior to redundancy at the system level is generalized to coherent systems with dependent components. Sufficient (and necessary) conditions are presented to compare component and system redundancies by means of the usual stochastic, hazard rate, reversed hazard rate, and likelihood ratio orderings. Explicit numerical examples are provided to illustrate the theoretical findings. Some related results in the literature are generalized and extended. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-03-17T04:05:41.770926-05:
      DOI: 10.1002/asmb.2247
       
  • Heterogeneity versus duration dependence with competing risks: an
           application to the labor market
    • Authors: Richard Robb; Halina Frydman, Andrew Robertson
      Abstract: Two hypotheses can explain the declining probability of gaining employment as an unemployment spell wears on: heterogeneity of the unemployed versus duration dependence. The nonparametric tests developed in the literature for testing duration dependence would not account for the fact that an unemployment spell can terminate in other ways than employment. The nonparametric tests developed in this paper extend, under certain conditions, those tests to competing risks. We illustrate our test using US unemployment data in which we find little consistent evidence for duration dependence. © 2017 The
      Authors . Applied Stochastic Models in Business and Industry published by John Wiley & Sons, Ltd.
      PubDate: 2017-03-15T22:45:58.456083-05:
      DOI: 10.1002/asmb.2242
       
  • Maximum likelihood estimation for stochastic volatility in mean models
           with heavy-tailed distributions
    • Authors: Carlos A. Abanto-Valle; Roland Langrock, Ming-Hui Chen, Michel V. Cardoso
      Abstract: In this article, we introduce a likelihood-based estimation method for the stochastic volatility in mean (SVM) model with scale mixtures of normal (SMN) distributions. Our estimation method is based on the fact that the powerful hidden Markov model (HMM) machinery can be applied in order to evaluate an arbitrarily accurate approximation of the likelihood of an SVM model with SMN distributions. Likelihood-based estimation of the parameters of stochastic volatility models, in general, and SVM models with SMN distributions, in particular, is usually regarded as challenging as the likelihood is a high-dimensional multiple integral. However, the HMM approximation, which is very easy to implement, makes numerical maximum of the likelihood feasible and leads to simple formulae for forecast distributions, for computing appropriately defined residuals, and for decoding, that is, estimating the volatility of the process. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-03-13T02:00:44.829428-05:
      DOI: 10.1002/asmb.2246
       
  • Design for low-temperature microwave-assisted crystallization of ceramic
           thin films
    • Authors: Nathan Nakamura; Jason Seepaul, Joseph B. Kadane, B. Reeja-Jayan
      Abstract: We designed experiments to determine optimized values for input parameters such as temperature, solution concentration, and power input for synthesizing ceramic materials, specifically titanium dioxide (TiO2) thin films using microwave radiation, which permits crystallization of these films at significantly lower temperatures (150-160 °C) compared to conventional techniques (>450 °C). The advantage of using lower temperatures is both reduced energy requirements, and in expanding the set of substrates (e.g., plastics) on which the thin film materials can be deposited. Low temperature crystallization permits ceramic thin film materials to be directly grown on delicate plastic substrates (which melt at temperatures over 200°C) and thus would have important applications in the emerging flexible electronics industry.Using a linear regression with quadratic terms, we found estimated optimal settings for the reaction parameters. When tried experimentally, these optimal settings produced better results (% coverage with film) than any of the data used in estimation. This approach allows fine tuning of the input parameters and can lead to reliable synthesis of films in a low-temperature environment. It may also be an important step in understanding the fundamental mechanisms underlying the growth of these films in the presence of electromagnetic fields like microwave radiation. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-03-02T02:00:36.898929-05:
      DOI: 10.1002/asmb.2243
       
  • Mixture representation for the residual lifetime of a repairable system
    • Authors: M. Chahkandi; Jafar Ahmadi, N. Balakrishnan
      Abstract: In this paper, we consider a repairable system in which two types of failures can occur on each failure. One is a minor failure that can be corrected with minimal repair, whereas the other type is a catastrophic failure that destroys the system. The total number of failures until the catastrophic failure is a positive random variable with a given probability vector. It is assumed that there is some partial information about the failure status of the system, and then various properties of the conditional probability of the system failure are studied. Mixture representations of the reliability function for the system in terms of the reliability function of the residual lifetimes of record values are obtained. Some stochastic properties of the conditional probabilities and the residual lifetimes of two systems are finally discussed. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-02-22T23:40:25.313559-05:
      DOI: 10.1002/asmb.2244
       
  • Managing inventory and service levels in a safety stock-based inventory
           routing system with stochastic retailer demands
    • Authors: Ehsan Yadollahi; El-Houssaine Aghezzaf, Birger Raa
      Abstract: The inherent uncertainty in supply chain systems compels managers to be more perceptive to the stochastic nature of the systems' major parameters, such as suppliers' reliability, retailers' demands, and facility production capacities. To deal with the uncertainty inherent to the parameters of the stochastic supply chain optimization problems and to determine optimal or close to optimal policies, many approximate deterministic equivalent models are proposed. In this paper, we consider the stochastic periodic inventory routing problem modeled as chance-constrained optimization problem. We then propose a safety stock-based deterministic optimization model to determine near-optimal solutions to this chance-constrained optimization problem. We investigate the issue of adequately setting safety stocks at the supplier's warehouse and at the retailers so that the promised service levels to the retailers are guaranteed, while distribution costs as well as inventory throughout the system are optimized. The proposed deterministic models strive to optimize the safety stock levels in line with the planned service levels at the retailers. Different safety stock models are investigated and analyzed, and the results are illustrated on two comprehensively worked out cases. We conclude this analysis with some insights on how safety stocks are to be determined, allocated, and coordinated in stochastic periodic inventory routing problem. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-02-22T23:35:31.17062-05:0
      DOI: 10.1002/asmb.2241
       
  • Variable selection in high-dimensional regression: a nonparametric
           procedure for business failure prediction
    • Authors: Alessandra Amendola; Francesco Giordano, Maria Lucia Parrella, Marialuisa Restaino
      Abstract: Business failure prediction models are important in providing warning for preventing financial distress and giving stakeholders time to react in a timely manner to a crisis. The empirical approach to corporate distress analysis and forecasting has recently attracted new attention from financial institutions, academics, and practitioners. In fact, this field is as interesting today as it was in the 1930s, and over the last 80 years, a remarkable body of both theoretical and empirical studies on this topic has been published. Nevertheless, some issues are still under investigation, such as the selection of financial ratios to define business failure and the identification of an optimal subset of predictors. For this purpose, there exist a large number of methods that can be used, although their drawbacks are usually neglected in this context. Moreover, most variable selection procedures are based on some very strict assumptions (linearity and additivity) that make their application difficult in business failure prediction. This paper proposes to overcome these limits by selecting relevant variables using a nonparametric method named Rodeo that is consistent even when the aforementioned assumptions are not satisfied. We also compare Rodeo with two other variable selection methods (Lasso and Adaptive Lasso), and the empirical results demonstrate that our proposed procedure outperforms the others in terms of positive/negative predictive value and is able to capture the nonlinear effects of the selected variables. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-02-17T02:55:30.21543-05:0
      DOI: 10.1002/asmb.2240
       
  • Multi-stage multivariate modeling of temporal patterns in prescription
           counts for competing drugs in a therapeutic category
    • Authors: Volodymyr Serhiyenko; Nalini Ravishanker, Rajkumar Venkatesan
      Abstract: This article describes statistical analyses pertaining to marketing data from a large multinational pharmaceutical firm. We describe models for monthly new prescription counts that are written by physicians for the firm's focal drug and for competing drugs, as functions of physician-specific and time-varying predictors. Modeling patterns in discrete-valued time series, and specifically time series of counts, based on large datasets, is the focus of much recent research attention. We first provide a brief overview of Bayesian approaches we have employed for modeling multivariate count time series using Markov Chain Monte Carlo methods. We then discuss a flexible level correlated model framework, which enables us to combine different marginal count distributions and to build a hierarchical model for the vector time series of counts, while accounting for the association among the components of the response vector, as well as possible overdispersion. We employ the integrated nested Laplace approximation (INLA) for fast approximate Bayesian modeling using the R-INLA package (r-inla.org). To enhance computational speed, we first build a model for each physician, use features of the estimated trends in the time-varying parameters in order to cluster the physicians into groups, and fit aggregate models for all physicians within each cluster. Our three-stage analysis can provide useful guidance to the pharmaceutical firm on their marketing actions. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-02-17T01:56:52.271792-05:
      DOI: 10.1002/asmb.2232
       
  • Bayesian D-optimal designs for error-in-variables models
    • Authors: Maria Konstantinou; Holger Dette
      Abstract: Bayesian optimality criteria provide a robust design strategy to parameter misspecification. We develop an approximate design theory for Bayesian D-optimality for nonlinear regression models with covariates subject to measurement errors. Both maximum likelihood and least squares estimation are studied, and explicit characterisations of the Bayesian D-optimal saturated designs for the Michaelis–Menten, Emax and exponential regression models are provided. Several data examples are considered for the case of no preference for specific parameter values, where Bayesian D-optimal saturated designs are calculated using the uniform prior and compared with several other designs, including the corresponding locally D-optimal designs, which are often used in practice. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-02-10T03:15:41.715447-05:
      DOI: 10.1002/asmb.2226
       
  • Clinical trial design as a decision problem
    • Authors: Peter Müller; Yanxun Xu, Peter F. Thall
      Abstract: The intent of this discussion is to highlight opportunities and limitations of utility-based and decision theoretic arguments in clinical trial design. The discussion is based on a specific case study, but the arguments and principles remain valid in general. The example concerns the design of a randomized clinical trial to compare a gel sealant versus standard care for resolving air leaks after pulmonary resection. The design follows a principled approach to optimal decision making, including a probability model for the unknown distributions of time to resolution of air leaks under the two treatment arms and an explicit utility function that quantifies clinical preferences for alternative outcomes. As is typical for any real application, the final implementation includes some compromises from the initial principled setup. In particular, we use the formal decision problem only for the final decision, but use reasonable ad hoc decision boundaries for making interim group sequential decisions that stop the trial early. Beyond the discussion of the particular study, we review more general considerations of using a decision theoretic approach for clinical trial design and summarize some of the reasons why such approaches are not commonly used. Copyright © 2017 John Wiley & Sons, Ltd.
      PubDate: 2017-01-13T03:50:22.534771-05:
      DOI: 10.1002/asmb.2222
       
  • Issue Information
    • Pages: 257 - 258
      Abstract: No abstract is available for this article.
      PubDate: 2017-06-15T00:11:34.355774-05:
      DOI: 10.1002/asmb.2196
       
  • Special issue in honor of Kathryn Chaloner
    • Authors: Refik Soyer; Isabella Verdinelli
      Pages: 259 - 259
      PubDate: 2017-06-15T00:11:34.770328-05:
      DOI: 10.1002/asmb.2257
       
 
 
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