Applied Stochastic Models and Data Analysis

Lauro, Carlo; Balbi, Simona

1999 Applied Stochastic Models and Data Analysis

doi: 10.1002/(SICI)1099-0747(199903)15:1<1::AID-ASM356>3.0.CO;2-F

The aim of this paper is to give an overview of the methodological contribution given by Italian researchers in introducing a priori information into multidimensional data analysis techniques, paying special attention to categorical variables. The basic method is Non‐Symmetrical Correspondence Analysis, which enables the analysis of a contingency table when the behaviour of one variable is supposed to be dependent on the other cross‐classified variable. As usual correspondence analysis decomposes an association index (Pearson's Φ2), in a principal component sense, the proposed method is based on a decomposition of a predictability index (Goodman and Kruskal's τb).

Schmitt, François; Schertzer, Daniel; Lovejoy, Shaun

1999 Applied Stochastic Models and Data Analysis

doi: 10.1002/(SICI)1099-0747(199903)15:1<29::AID-ASM357>3.0.CO;2-Z

In this paper we perform multifractal analyses of five daily Foreign Exchange (FX) rates. These techniques are currently used in turbulence to characterize scaling and intermittency. We show the multifractal nature of FX returns, and estimate the three parameters in the universal multifactal framework, which characterize all small and medium intensity fluctuations, at all scales. For large fluctuations, we address the question of hyperbolic (fat) tails of the distributions which are characterized by a fourth parameter, the tail index. We studied both the prices fluctuations and the returns, finding no systematic difference in the scaling exponents in the two cases.

Davidov, Ori

1999 Applied Stochastic Models and Data Analysis

doi: 10.1002/(SICI)1099-0747(199903)15:1<55::AID-ASM358>3.0.CO;2-4

There is a growing interest in planning and implementing broad‐scale clinical trials with a focus on prevention and screening. Often, the data‐generating mechanism for such experiments can be viewed as a semi‐Markov process. In this communication, we develop general expressions for the steady‐state probabilities for regenerative semi‐Markov processes. Hence, the probability of being in a certain state at the time of recruitment to a clinical trial can be calculated. An application to breast cancer prevention is demonstrated. Copyright © 1999 John Wiley & Sons, Ltd.

Kharin, Yurij S.; Zhuk, Eugene E.

1999 Applied Stochastic Models and Data Analysis

doi: 10.1002/(SICI)1099-0747(199903)15:1<65::AID-ASM360>3.0.CO;2-Q

The problem of optimality and performance evaluation for cluster analysis procedures is investigated. For the situations where the classes are described by known or unknown prior probabilities and regular probability density functions with unknown parameters the asymptotic expansions of classification error probability are constructed. The results are illustrated for the case of well‐known Fisher classification model. Copyright © 1999 John Wiley & Sons, Ltd.

Al‐Mharmah, Hisham Ahmad

1999 Applied Stochastic Models and Data Analysis

doi: 10.1002/(SICI)1099-0747(199903)15:1<77::AID-ASM361>3.0.CO;2-G

In this paper we develop two adaptive algorithms for programming co‐ordinate measuring machines assuming fixed sampling budget. Two different costs are considered: the travelling cost of the machine probe, and the sampling cost to read and store all measurements. Simulation is used to compare the average performance of the proposed algorithms under the assumption of Wiener measure on the space of all surface contours of the manufactured parts. Expected value of the probability of Type II error is the criterion that we use to characterize algorithms performance. Analysis shows that placing sample points according to the criterion of maximizing the expected gain demonstrates a substantial improvement in the average performance. Copyright © 1999 John Wiley & Sons, Ltd.