Evidence from the financial markets suggests that empirical returns distributions, both historical and implied, do not arise from diffusion processes. A growing literature models the returns process as a Levy process, finding a number of explicit formulae for the values of some derivatives in...

This paper considers the problem of defining a time-dependent nonparametric prior for use in Bayesian nonparametric modelling of time series. A recursive construction allows the definition of priors whose marginals have a general stick-breaking form. The processes with Poisson-Dirichlet and...

This paper considers the problem of estimation when one of a number of populations, assumed normal with known common variance, is selected on the basis of it having the largest observed mean. Conditional on selection of the population, the observed mean is a biased estimate of the true mean....

In this paper, we describe a new algorithmic approach for parameter estimation in Ratcliff's [(1978). A theory of memory retrieval. Psychological Review, 85 (2), 59-108] diffusion model. This problem, especially if inter-trial variabilities of parameters are included in the model, is...

The performance of a contracting company is closely linked with the quality of the decisions at the strategic level. However, the increasing complexity of organizations’ internal and external environments and the unstructured nature of decisions at the strategic level make the decision making...

This paper considers a hybrid maintenance policy for a simple system comprising a single component that arises from a heterogeneous population. This population of components consists of two sub-populations that possess different failure characteristics. There are a substantial number of papers...

Stratifying and matching by the propensity score are increasingly popular approaches to deal with confounding in medical studies investigating effects of a treatment or exposure. A more traditional alternative technique is the direct adjustment for confounding in regression models. This paper...

A common approach to analysing clinical trials with multiple outcomes is to control the probability for the trial as a whole of making at least one incorrect positive finding under any configuration of true and false null hypotheses. Popular approaches are to use Bonferroni corrections or...

In this paper we use a system of non-local reaction–diffusion equations to study the effect of host heterogeneity on the phenotypic evolution of a pathogen population. The evolving phenotype is taken to be the transmission rate of the pathogen on the different hosts, and in our system there...

Sparse kernel methods like support vector machines (SVM) have been applied with great success to classification and (standard) regression settings. Existing support vector classification and regression techniques however are not suitable for partly censored survival data, which are typically...