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Volume 41

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Journal of Applied Probability
ISSN: 0021-9002

EISSN: 1475-6072

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Volume 41 - September 2004

Contents

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Short Communications

A Brownian motion with two reflecting barriers and Markov-modulated speed
Part of:
Offer Kella, Wolfgang Stadje
Published online by Cambridge University Press:

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.

Part 7. Time series analysis

On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
Part of:
- Linear inference, regression
Shuangzhe Liu
Published online by Cambridge University Press:

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.

Letter to the Editor

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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Other

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

Correction
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14 July 2016, pp. 1248-1249
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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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Front matter

JPR volume 41 issue A Cover and Front matter
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14 July 2016, pp. f1-f8
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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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Back matter

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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