Geometric sampling, and local stereology in particular, often require observations at isotropic random directions on the sphere, and some sort of systematic design on the sphere becomes necessary on grounds of efficiency and practical applicability. Typically, the relevant probes are of nucleator type, in which several rays may be contained in a sectioning plane through a fixed point (e.g. through a nucleolus within a biological cell). The latter requirement considerably reduces the choice of design in practice; in this paper, we concentrate on a nucleator design based on splitting the sphere into regions of equal area, but not of identical shape; this design is pseudosystematic rather than systematic in a strict sense. Firstly, we obtain useful exact representations of the variance of an estimator under pseudosystematic sampling on the sphere. Then we adopt a suitable covariogram model to obtain a variance predictor from a single sample of arbitrary size, and finally we examine the prediction accuracy by way of simulation on a synthetic particle model.

Recently, systematic sampling on the circle and the sphere has been studied by Gual-Arnau and Cruz-Orive (2000) from a design-based point of view. In this note, it is shown that their mathematical model for the covariogram is, in a model-based statistical setting, a special case of the p-order shape model suggested by Hobolth, Pedersen and Jensen (2000) and Hobolth, Kent and Dryden (2002) for planar objects without landmarks. Benefits of this observation include an alternative variance estimator, applicable in the original problem of systematic sampling. In a wider perspective, the paper contributes to the discussion concerning design-based versus model-based stereology.

We propose and study a random crystalline algorithm (a discrete approximation) of the Gauss curvature flow of smooth simple closed convex curves in ℝ2 as a stepping stone to the full understanding of such phenomena as the wearing process of stones on a beach.

Let be the mean normal measure of a stationary random set Z in the extended convex ring in ℝd. For k ∈ {1,…,d-1}, connections are shown between and the mean of . Here, the mean is understood to be with respect to the random isotropic k-dimensional linear subspace ξk and the mean normal measure of the intersection is computed in ξk. This mean to be well defined, a suitable spherical lifting must be applied to before averaging. A large class of liftings and their resulting means are discussed. In particular, a geometrically motivated lifting is presented, for which the mean of liftings of determines uniquely for any fixed k ∈ {2,…,d-1}.

Let X, X1, X2, … be a sequence of i.i.d. random closed subsets of a certain locally compact, Hausdorff and separable base space E. For a fixed normalised Borel measure μ on E, we investigate the behaviour of random variables μ(E \ (X1 ∪ ∙ ∙ ∙ ∪ Xn)) for large n. The results obtained include a description of variance asymptotics, strong law of large numbers and a central limit theorem. As an example we give an application of the developed methods for asymptotic analysis of the mean width of convex hulls generated by uniform samples from a multidimensional ball. Another example deals with unions of random balls in ℝd with centres distributed according to a spherically-symmetric heavy-tailed law.

This paper introduces a benchmark approach for the modelling of continuous, complete financial markets, when an equivalent risk-neutral measure does not exist. This approach is based on the unique characterization of a benchmark portfolio, the growth optimal portfolio, which is obtained via a generalization of the mutual fund theorem. The discounted growth optimal portfolio with minimum variance drift is shown to follow a Bessel process of dimension four. Some form of arbitrage can be explicitly modelled by arbitrage amounts. Fair contingent claim prices are derived as conditional expectations under the real world probability measure. The Heath-Jarrow-Morton forward rate equation remains valid despite the absence of an equivalent risk neutral measure.

Given a sequence S and a collection Ω of d words, it is of interest in many applications to characterize the multivariate distribution of the vector of counts U = (N(S,w1), …, N(S,wd)), where N(S,w) is the number of times a word w ∈ Ω appears in the sequence S. We obtain an explicit bound on the error made when approximating the multivariate distribution of U by the normal distribution, when the underlying sequence is i.i.d. or first-order stationary Markov over a finite alphabet. When the limiting covariance matrix of U is nonsingular, the error bounds decay at rate O((log n) / √n) in the i.i.d. case and O((log n)3 / √n) in the Markov case. In order for U to have a nondegenerate covariance matrix, it is necessary and sufficient that the counted word set Ω is not full, that is, that Ω is not the collection of all possible words of some length k over the given finite alphabet. To supply the bounds on the error, we use a version of Stein's method.

In this paper, we clarify dependence properties of elliptical distributions by deriving general but explicit formulae for the coefficients of upper and lower tail dependence and spectral measures with respect to different norms. We show that an elliptically distributed random vector is regularly varying if and only if the bivariate marginal distributions have tail dependence. Furthermore, the tail dependence coefficients are fully determined by the tail index of the random vector (or equivalently of its components) and the linear correlation coefficient. Whereas Kendall's tau is invariant in the class of elliptical distributions with continuous marginals and a fixed dispersion matrix, we show that this is not true for Spearman's rho. We also show that sums of elliptically distributed random vectors with the same dispersion matrix (up to a positive constant factor) remain elliptical if they are dependent only through their radial parts.

The random variables X1, X2, …, Xn are said to be totally negatively dependent (TND) if and only if the random variables Xi and ∑j≠iXj are negatively quadrant dependent for all i. Our main result provides, for TND 0-1 indicators X1, x2, …, Xn with P[Xi = 1] = pi = 1 - P[Xi = 0], an upper bound for the total variation distance between ∑ni=1Xi and a Poisson random variable with mean λ ≥ ∑ni=1pi. An application to a generalized birthday problem is considered and, moreover, some related results concerning the existence of monotone couplings are discussed.

An important class of queueing networks is characterized by the following feature: in contrast with ordinary units, a disaster may remove all work from the network. Applications of such networks include computer networks with virus infection, migration processes with mass exodus and serial production lines with catastrophes. In this paper, we deal with a two-stage tandem queue with blocking operating under the presence of a secondary flow of disasters. The arrival flows of units and disasters are general Markovian arrival processes. Using spectral analysis, we determine the stationary distribution at departure epochs. That distribution enables us to derive the distribution of the number of units which leave the network at a disaster epoch. We calculate the stationary distribution at an arbitrary time and, finally, we give numerical results and graphs for certain probabilistic descriptors of the network.

Motivated by various applications in queueing systems, this work is devoted to continuous-time Markov chains with countable state spaces that involve both fast-time scale and slow-time scale with the aim of approximating the time-varying queueing systems by their quasistationary counterparts. Under smoothness conditions on the generators, asymptotic expansions of probability vectors and transition probability matrices are constructed. Uniform error bounds are obtained, and then sequences of occupation measures and their functionals are examined. Mean square error estimates of a sequence of occupation measures are obtained; a scaled sequence of functionals of occupation measures is shown to converge to a Gaussian process with zero mean. The representation of the variance of the limit process is also explicitly given. The results obtained are then applied to treat Mt/Mt/1 queues and Markov-modulated fluid buffer models.