On positive definite quadratic forms in correlatedt variables

Summary In this paper we extend Ruben's [4] result for quadratic forms in normal variables. He represented the distribution function of the quadratic form in normal variables as an infinite mixture of chi-square distribution functions. In the central case, we show that the distribution function of a quadratic form int-variables can be represented as a mixture of beta distribution functions. In the noncentral case, the distribution function presented is an infinite series in beta distribution functions. An application to quadratic discrimination is given.     

A limit theorem of certain repairable systems

Many large engineering systems can be viewed (or imbedded) as a series system in time. In this paper, we introduce the structure of a repairable system and the reliabilities of these large systems are studied systematically by studying the ergodicities of certain non-homogeneous Markov chains. It shows that if the failure probabilities of components satisfy certain conditions, then the reliability of the large system is approximately exp (-) for some >0. In particular, we demonstrate how the repairable system can be used for studying the reliability of a large linearly connected system. Several practical examples of large consecutive-k-out-of-n:F systems are given to illustrate our results. The Weibull distribution is derived under our natural set-up.This research work was partially supported by the National Science Council of the Republic of China.This work was supported in part by the Natural Sciences and Engineering Research Council of Canada under Grant A-9216, and by the National Science Council of the Republic of China.     

Some Optimal Strategies for Bandit Problems with Beta Prior Distributions

A bandit problem with infinitely many Bernoulli arms is considered. The parameters of Bernoulli arms are independent and identically distributed random variables from a common distribution with beta(a, b). We investigate the k-failure strategy which is a modification of Robbins's stay-with-a-winner/switch-on-a-loser strategy and three other strategies proposed recently by Berry et al. (1997, Ann. Statist., 25, 2103–2116). We show that the k-failure strategy performs poorly when b is greater than 1, and the best strategy among the k-failure strategies is the 1-failure strategy when b is less than or equal to 1. Utilizing the formulas derived by Berry et al. (1997), we obtain the asymptotic expected failure rates of these three strategies for beta prior distributions. Numerical estimations and simulations for a variety of beta prior distributions are presented to illustrate the performances of these strategies.     

Design Adaptive Nearest Neighbor Regression Estimation

This paper deals with nonparametric regression estimation under arbitrary sampling with an unknown distribution. The effect of the distribution of the design, which is a nuisance parameter, can be eliminated by conditioning. An upper bound for the conditional mean squared error of k−NN estimates leads us to consider an optimal number of neighbors, which is a random function of the sampling. The corresponding estimate can be used for nonasymptotic inference and is also consistent under a minimal recurrence condition. Some deterministic equivalents are found for the random rate of convergence of this optimal estimate, for deterministic and random designs with vanishing or diverging densities. The proposed estimate is rate optimal for standard designs.     

Analysis of the M/M/1 Queue with Processor Sharing via Spectral Theory

We show in this paper that the computation of the distribution of the sojourn time of an arbitrary customer in a M/M/1 with the processor sharing discipline (abbreviated to M/M/1 PS queue) can be formulated as a spectral problem for a self-adjoint operator. This approach allows us to improve the existing results for this queue in two directions. First, the orthogonal structure underlying the M/M/1 PS queue is revealed. Second, an integral representation of the distribution of the sojourn time of a customer entering the system while there are n customers in service is obtained.     

The Cumulative Idle Time in an ND/D/1 Queue

An ND/D/1 queueing model means that N independent periodic sources are served by a single server and the packets have the same size. These models have received close attention as general queueing models in telecommunications. Both discrete models, where it is only permitted to transmit packets at fixed time instances, and also continuous models, where the time of transmission is not restricted, can be applied in the modeling. This paper provides the exact distribution of the cumulative idle time duration in such queuing systems and also proposes accurate approximation formulae for large systems. The results of this paper are of practical significance because existing approximations of the distribution of the cumulative idle time can be replaced by the proposed formulae.AMS subject classification: 68M20, 60K25This revised version was published online in June 2005 with corrected coverdate     

On a generalization of the logistic distribution

Summary Expressions for the moment generating functions, cumulants and coefficients of kurtosis of a generalization of the logistic distribution are derived and used to show that any symmetric version of this distribution can be closely and simply approximated by a Studentt distribution. Related approximation of the distribution of the logistic sample median is discussed.     

Fluid approximations for a processor-sharing queue

In this paper a fluid approximation, also known as a functional strong law of large numbers (FSLLN) for a GI/G/1 queue under a processor-sharing service discipline is established and its properties are analysed. The fluid limit depends on the arrival rate, the service time distribution of the initial customers, and the service time distribution of the arriving customers. This is in contrast to the known result for the GI/G/1 queue under a FIFO service discipline, where the fluid limit is piecewise linear and depends on the service time distribution only through its mean. The piecewise linear form of the limit can be recovered by an equilibrium type choice of the initial service distribution. This revised version was published online in June 2006 with corrections to the Cover Date.     

Some projectively flat (α, β)-metrics

In this paper, we study a class of Finsler metrics in the form , where is a Riemannian metric, β = b _i y ⁱ is a 1-form, and ε and k ≠ 0 are constants. We obtain a sufficient and necessary condition for F to be locally projectively flat and give the non-trivial special solutions. Moreover, it is proved that such projectively flat Finsler metrics with the constant flag curvature must be locally Minkowskian.     

Minimal cyclic random motion in and hyper-Bessel functions

We obtain the explicit distribution of the position of a particle performing a cyclic, minimal, random motion with constant velocity c in . The n+1 possible directions of motion as well as the support of the distribution form a regular hyperpolyhedron (the first one having constant sides and the other expanding with time t), the geometrical features of which are here investigated.The distribution is obtained by using order statistics and is expressed in terms of hyper-Bessel functions of order n+1. These distributions are proved to be connected with (n+1)th order p.d.e. which can be reduced to Bessel equations of higher order.Some properties of the distributions obtained are examined. This research has been inspired by a conjecture formulated in Orsingher and Sommella [E. Orsingher, A.M. Sommella, A cyclic random motion in R³ with four directions and finite velocity, Stochastics Stochastics Rep. 76 (2) (2004) 113–133] which is here proved to be false.     

Estimation with Sequential Order Statistics from Exponential Distributions

The lifetime of an ordinary k-out-of-n system is described by the (n–k+1)-st order statistic from an iid sample. This set-up is based on the assumption that the failure of any component does not affect the remaining ones. Since this is possibly not fulfilled in technical systems, sequential order statistics have been proposed to model a change of the residual lifetime distribution after the breakdown of some component. We investigate such sequential k-out-of-n systems where the corresponding sequential order statistics, which describe the lifetimes of these systems, are based on one- and two-parameter exponential distributions. Given differently structured systems, we focus on three estimation concepts for the distribution parameters. MLEs, UMVUEs and BLUEs of the location and scale parameters are presented. Several properties of these estimators, such as distributions and consistency, are established. Moreover, we illustrate how two sequential k-out-of-n systems based on exponential distributions can be compared by means of the probability P(X < Y). Since other models of ordered random variables, such as ordinary order statistics, record values and progressive type II censored order statistics can be viewed as sequential order statistics, all the results can be applied to these situations as well.     

A compound of the generalized negative binomial distribution with the generalized beta distribution

This paper presents a compound of the generalized negative binomial distribution with the generalized beta distribution. In the introductory part of the paper, we provide a chronological overview of recent developments in the compounding of distributions, including the Polish results. Then, in addition to presenting the probability function of the compound generalized negative binomial-generalized beta distribution, we present special cases as well as factorial and crude moments of some compound distributions.     

<Emphasis Type="Italic">I</Emphasis>-projection onto isotonic cones and its applications to maximum likelihood estimation for log-linear models

A frequently occurring problem is to find a probability vector,p∈D, which minimizes theI-divergence between it and a given probability vector π. This is referred to as theI-projection of π ontoD. Darroch and Ratcliff (1972,Ann. Math. Statist.,43, 1470–1480) gave an algorithm whenD is defined by some linear equalities and in this paper, for simplicity of exposition, we propose an iterative procedure whenD is defined by some linear inequalities. We also discuss the relationship betweenI-projection and the maximum likelihood estimation for multinomial distribution. All of the results can be applied to isotonic cone.     

A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications

We obtain an explicit representation for joint distribution of two-valued random variables with given marginals and for a copula corresponding to such random variables. The results are applied to prove a characterization of r-independent two-valued random variables in terms of their mixed first moments. The characterization is used to obtain an exact estimate for the number of almost independent random variables that can be defined on a discrete probability space and necessary conditions for a sequence of r-independent random variables to be stationary.     

The M/G/1 Queue with Finite Workload Capacity

We consider the M/G/1 queueing system in which customers whose admission to the system would increase the workload beyond a prespecified finite capacity limit are not accepted. Various results on the distribution of the workload are derived; in particular, we give explicit formulas for its stationary distribution for M/M/1 and in the general case, under the preemptive LIFO discipline, for the joint stationary distribution of the number of customers in the system and their residual service times. Furthermore, the Laplace transform of the length of a busy period is determined. Finally, for M/D/1 the busy period distribution is derived in closed form.     

On the decomposition of k-noncrossing RNA structures

A k-noncrossing RNA structure can be identified with a k-noncrossing diagram over [n], which in turn corresponds to a vacillating tableau having at most (k−1) rows. In this paper we derive the limit distribution of irreducible substructures via studying their corresponding vacillating tableaux. Our main result proves, that the limit distribution of the numbers of irreducible substructures in k-noncrossing, σ-canonical RNA structures is determined by the density function of a -distribution for some τ_k>1.     

Geometric Generalization of the Exponential Law

For the multivariate ℓ₁-norm symmetric distributions, which are generalizations of the n-dimensional exponential distribution with independent marginals, a geometric representation formula is given, together with some of its basic properties. This formula can especially be applied to a new developed and statistically well motivated system of sets. From that the distribution of a t-statistic adapted for the two-parameter exponential distribution and its generalizations is determined. Asymptotic normality of this adapted t-statistic is shown under certain conditions.     

A controlled M / G / 1 workload process with an application to perishable inventory systems

We derive the stationary distribution of the regenerative process W(t), t ≥ 0, whose cycles behave like an M / G / 1 workload process terminating at the end of its first busy period or when it reaches or exceeds level 1, and restarting with some fixed workload . The result is used to obtain the overflow distribution of this controlled workload process; we derive and , where T is the duration of the first cycle. W(t) can be linked to a certain perishable inventory model, and we use our results to determine the distribution of the duration of an empty period.D. Perry was supported by a Mercator Fellowship of the Deutsche Forschungsgemeinschaft.     

Continuity theorems for the M/M/1/n queueing system

In this paper continuity theorems are established for the number of losses during a busy period of the M/M/1/n queue. We consider an M/GI/1/n queueing system where the service time probability distribution, slightly different in a certain sense from the exponential distribution, is approximated by that exponential distribution. Continuity theorems are obtained in the form of one or two-sided stochastic inequalities. The paper shows how the bounds of these inequalities are changed if further assumptions, associated with specific properties of the service time distribution (precisely described in the paper), are made. Specifically, some parametric families of service time distributions are discussed, and the paper establishes uniform estimates (given for all possible values of the parameter) and local estimates (where the parameter is fixed and takes only the given value). The analysis of the paper is based on the level crossing approach and some characterization properties of the exponential distribution. Dedicated to Vladimir Mikhailovich Zolotarev, Victor Makarovich Kruglov, and to the memory of Vladimir Vyacheslavovich Kalashnikov.     

Estimation of a structural linear regression model with a known reliability ratio

In this paper, we consider the estimation of the slope parameter of a simple structural linear regression model when the reliability ratio (Fuller (1987),Measurement Error Models, Wiley, New York) is considered to be known. By making use of an orthogonal transformation of the unknown parameters, the maximum likelihood estimator of and its asymptotic distribution are derived. Likelihood ratio statistics based on the profile and on the conditional profile likelihoods are proposed. An exact marginal posterior distribution of , which is shown to be at-distribution is obtained. Results of a small Monte Carlo study are also reported.The first author acknowledges partial finantial suport from CNPq-BRASIL.