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Heavy-tails and regime-switching in electricity prices
Weron, Rafał - In: Computational Statistics 69 (2009) 3, pp. 457-473
In this paper we first analyze the stylized facts of electricity prices, in particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of price changes. Then we calibrate Markov regime-switching (MRS) models with heavy-tailed components and show that they...
Persistent link: https://www.econbiz.de/10010848019
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On the construction of component importance measures for semi-Markov systems
Hellmich, Mario; Berg, Heinz-Peter - In: Computational Statistics 77 (2013) 1, pp. 15-32
In this paper we consider semi-Markov reliability models of systems with discrete state space in a setup general enough …
Persistent link: https://www.econbiz.de/10010847559
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Cost benefit analysis of series systems with warm standby components
Wang, Kuo-Hsiung; Pearn, Wen-Lea - In: Computational Statistics 58 (2003) 2, pp. 247-258
This paper deals with the cost benefit analysis of series systems with warm standby components. The time-to-repair and the time-to-failure for each of the primary and warm standby components is assumed to have the negative exponential distribution. We develop the explicit expressions for the...
Persistent link: https://www.econbiz.de/10010847780
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Distributions of numbers of runs and scans on directed acyclic graphs with generation
Inoue, Kiyoshi; Aki, Sigeo - In: Computational Statistics 28 (2013) 3, pp. 1133-1150
special reliability systems are considered, which are closely related to our general results. Finally, we address the …
Persistent link: https://www.econbiz.de/10010847783
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Range reliability in random walks
Vallois, Pierre; Tapiero, Charles - In: Computational Statistics 45 (1997) 3, pp. 325-345
This paper introduces a definition of reliability based on a process range. Thus, process failure is defined when the … probability distribution of the range is then given and the process reliability over long periods of system operations are then … reliability) are also used to motivate the usefulness of range processes in reliability studies. Finally, we point out that there …
Persistent link: https://www.econbiz.de/10010847998
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Ergodic and light traffic properties of a complex repairable system
Kovalenko, Igor - In: Computational Statistics 45 (1997) 3, pp. 387-409
A repairable system is composed of components ofI types. A component can be loaded, put on standby, queued or repaired. The repair facility is here assumed to be a queueing system of a rather general structure though interruption of repairs is not allowed. Typei components possess a lifetime...
Persistent link: https://www.econbiz.de/10010759490