Stratified and simple random sampling (or testing) are two common methods used to investigate the number or proportion of items in a population with a particular attribute. Although it is known that cost factors and information about the strata in the population are often crucial in deciding whether to use stratified or simple random sampling in a given situation, the stochastic precedence ordering for random variables can also provide the basis for an interesting criteria under which these methods may be compared. It may be particularly relevant when we are trying to find as many special items as possible in a population (for example individuals with a disease in a country). Properties of this total stochastic order on the class of random variables are discussed, and necessary and sufficient conditions are established which allow the comparison of the number of items of interest found in stratified random sampling with the number found in simple random sampling in the stochastic precedence order. These conditions are compared with other results established on stratified and simple random sampling (testing) using different stochastic-order-type criteria, and applications are given for the comparison of sums of Bernoulli random variables and binomial distributions.

We study a one-dimensional telegraph process (M t ) t≥0 describing the position of a particle moving at constant speed between Poisson times at which new velocities are chosen randomly. The exact distribution of M t and its first two moments are derived. We characterize the level hitting times of M t in terms of integro-differential equations which can be solved in special cases.

In this article we investigate a class of superprocess with cut-off branching, studying the long-time behavior of the occupation time process. Persistence of the process holds in all dimensions. Central-limit-type theorems are obtained, and the scales are dimension dependent. The Gaussian limit holds only when d ≤ 4. In dimension one, a full large deviation principle is established and the rate function is identified explicitly. Our result shows that the super-Brownian motion with cut-off branching in dimension one has many features that are similar to super-Brownian motion in dimension three.

This paper is motivated by the modelling of leaching of bacteria through soil. A semi-linear process X t − may be used to describe the soil-drying process between rain showers. This is a backward recurrence time process that corresponds to the renewal process of instances of rain. If a bacterium moves according to another process h, then the fact that h(t) stays above X t − means that the bacterium never hits a dry patch of soil and so survives. We describe a critical behaviour of h that separates the cases when survival is possible with a positive probability from the cases when this probability vanishes. An explicit formula for the survival probability is obtained in case h is linear and rain showers follow a Poisson process.

The location of the ‘favourite’ point at time T (T = 1, 2,…) of a supercritical branching random walk at ℤd is investigated.

This paper provides a quasi-likelihood or minimum-contrast-type method for the parameter estimation of random fields in the frequency domain based on higher-order information. The estimation technique uses the spectral density of the general kth order and allows for possible long-range dependence in the random fields. To avoid bias due to edge effects, data tapering is incorporated into the method. The suggested minimum contrast functional is linear with respect to the periodogram of kth order, hence kernel estimation for the spectral densities is not needed. Furthermore, discretization is not required in the estimation of continuously observed random fields. The consistency and asymptotic normality of the resulting estimators are established. Illustrative applications of the method to some problems in mathematical finance and signal detection are given.

Let (S n ) n≥0 be a correlated random walk on the integers, let M 0 ≥ S 0 be an arbitrary integer, and let M n = max{M 0, S 1,…, S n }. An optimal stopping rule is derived for the sequence M n - nc, where c > 0 is a fixed cost. The optimal rule is shown to be of threshold type: stop at the first time that M n - S n ≥ Δ, where Δ is a certain nonnegative integer. An explicit expression for this optimal threshold is given.

Let C 1, C 2,…,C m be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x + ct - C(t). The ruin probability is given by the well-known Pollaczek–Khinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators C i . Formulae for the probability that ruin is caused by C i are derived. These formulae can be extended to perturbed risk processes of the type X(t) = x + ct - C(t) + Z(t), where Z is a Lévy process with mean 0 and no positive jumps.

Kingman's classical theory of the coalescent uncovered the basic pattern of genealogical trees of random samples of individuals in large but time-constant populations. Time is viewed as being discrete and is identified with non-overlapping generations. Reproduction can be very generally taken as exchangeable (meaning that the labelling of individuals in each generation carries no significance). Recent generalisations have dealt with population sizes exhibiting given deterministic or (minor) random fluctuations. We consider population sizes which constitute a stationary Markov chain, explicitly allowing large fluctuations in short times. Convergence of the genealogical tree, as population size tends to infinity, towards the (time-scaled) coalescent is proved under minimal conditions. As a result, we obtain a formula for effective population size, generalising the well-known harmonic mean expression for effective size.

The central limit theorem for random walks on ℤ in an i.i.d. space-time random environment was proved by Bernabei et al. for almost all realization of the environment, under a small randomness assumption. In this paper, we prove that, in the nearest-neighbour case, when the averaged random walk is symmetric, the almost sure central limit theorem holds for an arbitrary level of randomness.

A formal approach to produce a model for the data-generating distribution based on partial knowledge is the well-known maximum entropy method. In this approach, partial knowledge about the data-generating distribution is formulated in terms of some information constraints and the model is obtained by maximizing the Shannon entropy under these constraints. Frequently, in reliability analysis the problem of interest is the lifetime beyond an age t. In such cases, the distribution of interest for computing uncertainty and information is the residual distribution. The information functions involving a residual life distribution depend on t, and hence are dynamic. The maximum dynamic entropy (MDE) model is the distribution with the density that maximizes the dynamic entropy for all t. We provide a result that relates the orderings of dynamic entropy and the hazard function for distributions with monotone densities. Applications include dynamic entropy ordering within some parametric families of distributions, orderings of distributions of lifetimes of systems and their components connected in series and parallel, record values, and formulation of constraints for the MDE model in terms of the evolution paths of the hazard function and mean residual lifetime function. In particular, we identify classes of distributions in which some well-known distributions, including the mixture of two exponential distributions and the mixture of two Pareto distributions, are the MDE models.

For a given k ≥ 1, subintervals of a given interval [0, X] arrive at random and are accepted (allocated) so long as they overlap fewer than k subintervals already accepted. Subintervals not accepted are cleared, while accepted subintervals remain allocated for random retention times before they are released and made available to subsequent arrivals. Thus, the system operates as a generalized many-server queue under a loss protocol. We study a discretized version of this model that appears in reference theories for a number of applications, including communication networks, surface adsorption-desorption processes, and reservation systems. Our primary interest is in steady-state estimates of the vacant space, i.e. the total length of available subintervals kX - ∑ℓ i , where the ℓ i are the lengths of the subintervals currently allocated. We obtain explicit results for k = 1 and for general k with all subinterval lengths equal to 2, the classical dimer case of chemical applications. Our focus is on the asymptotic regime of large retention times.

Let {X k , k ≥ 1} be a sequence of independent, identically distributed nonnegative random variables with common distribution function F and finite expectation μ > 0. Under the assumption that the tail probability is consistently varying as x tends to infinity, this paper investigates precise large deviations for both the partial sums S n and the random sums S N(t), where N(·) is a counting process independent of the sequence {X k , k ≥ 1}. The obtained results improve some related classical ones. Applications to a risk model with negatively associated claim occurrences and to a risk model with a doubly stochastic arrival process (extended Cox process) are proposed.

A general class of Markovian non-Gaussian bifurcating models for cell lineage data is presented. Examples include bifurcating autoregression, random coefficient autoregression, bivariate exponential, bivariate gamma, and bivariate Poisson models. Quasi-likelihood estimation for the model parameters and large-sample properties of the estimates are discussed.

We introduce a new model for the infection of one or more subjects by a single agent, and calculate the probability of infection after a fixed length of time. We model the agent and subjects as random walkers on a complete graph of N sites, jumping with equal rates from site to site. When one of the walkers is at the same site as the agent for a length of time τ, we assume that the infection probability is given by an exponential law with parameter γ, i.e. q(τ) = 1 - e-γ τ . We introduce the boundary condition that all walkers return to their initial site (‘home’) at the end of a fixed period T. We also assume that the incubation period is longer than T, so that there is no immediate propagation of the infection. In this model, we find that for short periods T, i.e. such that γ T ≪ 1 and T ≪ 1, the infection probability is remarkably small and behaves like T 3. On the other hand, for large T, the probability tends to 1 (as might be expected) exponentially. However, the dominant exponential rate is given approximately by 2γ/[(2+γ)N] and is therefore small for large N.

Let {X k , k ≥ 1} be a sequence of independently and identically distributed random variables with common subexponential distribution function concentrated on (−∞, ∞), and let τ be a nonnegative and integer-valued random variable with a finite mean and which is independent of the sequence {X k , k ≥ 1}. This paper investigates asymptotic behavior of the tail probabilities P(· > x) and the local probabilities P(x < · ≤ x + h) of the quantities and for n ≥ 1, and their randomized versions X (τ), S τ and S (τ), where X 0 = 0 by convention and h > 0 is arbitrarily fixed.

Jump points in curves arise when the conditions under which data are generated change suddenly, for example because of an unplanned change in a treatment. This paper suggests bootstrap methods for quantifying the error in estimates of jump points, and for constructing confidence intervals for jump points and confidence bands for the curve. These problems have the unusual feature that the sampling error of the jump-point estimator often has a highly non-normal distribution, which depends intimately on the distribution of regression errors. The methods are illustrated by a simulation study as well as by an application to data on the annual flow volume of the Nile river.

An explicit, computable, and sufficient condition for exponential ergodicity of single-birth processes is presented. The corresponding criterion for birth–death processes is proved using a new method. As an application, some sufficient conditions are obtained for exponential ergodicity of an extended class of continuous-time branching processes and of multidimensional Q-processes, by comparison methods.

In this paper we extend some recent results on the comparison of multivariate risk vectors with respect to supermodular and related orderings. We introduce a dependence notion called the ‘weakly conditional increasing in sequence order’ that allows us to conclude that ‘more dependent’ vectors in this ordering are also comparable with respect to the supermodular ordering. At the same time, this ordering allows us to compare two risks with respect to the directionally convex order if the marginals increase convexly. We further state comparison criteria with respect to the directionally convex order for some classes of risk vectors which are modelled by functional influence factors. Finally, we discuss Fréchet bounds with respect to Δ-monotone functions when multivariate marginals are given. It turns out that, in the case of multivariate marginals, comonotone vectors no longer yield necessarily the largest risks but, in some cases, may even be vectors which minimize risk.

Large deviation results are obtained for the normed limit of a supercritical multitype branching process. Starting from a single individual of type i, let L[i] be the normed limit of the branching process, and let be the minimum possible population size at generation k. If is bounded in k (bounded minimum growth), then we show that P(L[i] ≤ x) = P(L[i] = 0) + x α F *[i](x) + o(x α ) as x → 0. If grows exponentially in k (exponential minimum growth), then we show that −log P(L[i] ≤ x) = x −β/(1−β) G*[i](x) + o (x −β/(1−β)) as x → 0. If the maximum family size is bounded, then −log P(L[i] > x) = x δ/(δ−1) H *[i](x) + o(x δ/(δ−1)) as x → ∞. Here α, β and δ are constants obtained from combinations of the minimum, maximum and mean growth rates, and F *, G * and H * are multiplicatively periodic functions.