Extreme shock models: An alternative perspective
Extreme shock models: An alternative perspective
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DOI：
10.1016/j.spl.2010.09.014
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发表时间：
2011-01-01
影响因子：
0.8
通讯作者：
Huesler, Juerg
中科院分区：
文献类型：
--
作者：
Cirillo, Pasquale;Huesler, Juerg
极端冲击模型已经在Gut和Husler(1999)中被引入来研究在随机时间受到随机震级冲击的系统。当激波克服给定的阻力水平时，这些系统就会崩溃。在本文中，我们提出了一种使用增强的骨灰盒过程来模拟极端激波模型的替代方法。因此，我们能够在贝叶斯非参数视角下查看相同的问题，从而提供系统缺省的预测性分布。(C)2010爱思唯尔B.V.保留所有权利。
Extreme shock models have been introduced in Gut and Husler (1999) to study systems that at random times are subject to a shock of random magnitude. These systems break down when the shock overcomes a given resistance level.In this paper we propose an alternative approach to extreme shock models using reinforced urn processes. As a consequence of this we are able to look at the same problem under a Bayesian nonparametric perspective, providing the predictive distribution of systems' defaults. (C) 2010 Elsevier B.V. All rights reserved.