Contents of Proceedings [Petersburg Workshop on Simulation]

Contents of Proceedings

Volume 1 PDF [17.5Mb]
Volume 2 PDF [3.5Mb]

Plenary session 15

Rubinstein R. Why the Classic Randomized Algorithms do not Work and how to Make them Work 15
Sushkevich T.A. Pioneering space research in the USSR and mathematical modelling of radiation transfer 16
Mikhailov G. Monte Carlo Algorithms with branching and the partial averaging method 31

Special invited session 37

Stochastic processes and Insurance, inventory, queuing models 39

Bulinskaya E., Afanas'eva L. Transport flows investigation via queueing methods 41
Karapetyan N.V. Dividends and Reinsurance 47
Lebedev A.V. Maximal branching processes 53
Perekhodtseva E. The statistical model of automated forecast method of dangerous summer wind over the North-West territory of Russia 59
Prohorenkov S.P. Performance Evaluation in Multi-dimensional Stochastic Model of Data Transmission Network 63
Yarovaya E. Three models of non-degenerate processes in random environments 67
Yartseva D. Optimal reinsurance strategies for some discrete time models 73
Zeifman A., Korotysheva A., Tereshina N. On M(t)=M(t)=S queue with catastrophes 79
Bulinski A. Noncommutative dynamical systems, quantum stochastic processes and modelling of quantum channels 83

Stochastic modeling in finance 87

Silvestrov D. Optimal option pricing for modulated price processes 89
Manca R., De Medici J., Janssen J., Ventura G. Semi-Markov Monte Carlo simulation model for finance and insurance applications 90
Ni Y. Asymptotic expansions and Monte Carlo studies for ruin probabilities 91
Lundgren R. Stochastic modeling of american knock options 92
Schyberg O. Monte Carlo based software for analysis of insurance and reinsurance processes 93
Belopolskaya Ya., Filimonova S. Currency option pricing via Monte Carlo technique 94
Rasulov A., Raimova G. Monte Carlo solutions of European Multi-Asset Options 100
Rasulov A., Raimova G. Application variance redaction techniques of Monte Carlo methods for the pricing weather derivatives 105
Gormin A. Importance sampling and control variates in the weighted variance minimization 109

Probabilistic models for various problems of mathematical physics and engineering 115

Prigarin S.M. Generalized Wiener process: integral representations and simulation 117
Chimaeva A., Ukhinov S. Monte Carlo algorithms for reconstructing a scattering phase function with polarization taken into account 122
Gusev S. Monte Carlo estimation of a functional of a diffusion process with variance reduction by transformation of the corresponding parabolic boundary value problem 128
Averina T. Statistical simulation methods for non-homogeneous Poisson ensembles 133
Plotnikov M., Shkarupa E. Analysis of statistical error of the DSMC method 137
Rogasinsky S.V., Bloshchitsyna O.V. Weighted modification of the majorant frequency method for solving the Boltzmann equation 143
Marchenko M. Study of a parallel Direct Simulation Monte Carlo algorithm to solve coagulation equation 149
Burmistrov A. Monte Carlo Method for Solving the Elliptic Boundary Value Problems 155
Medvedev I., Mikhailov G. The study of exponential transformation algorithm with branching based on the transition to subcritical Galton-Watson process 159
Lukinov V. Extension of the convergence of statistical methods in solving the Helmholtz equation 165
Korotchenko M. Value simulation for solving the Smoluchowski equation with linear coe±cients 169
Tracheva N. Study of time asymptotic parameters of polarized radiation intensity for remote sensing problems 175
Rozhenko S.A. Trajectories splitting algorithm modification taking account of system symmetry 181
Ogorodnikov V.A., Khlebnikova E.I., Kosyak S.S. Special stochastic models of joint meteorological time series 187
Ukhinova O.S., Ogorodnikov V.A. Stochastic models of spatial-time fields of precipitation sums 193

Ordered data analysis I 199

Wang K., Nagaraja, H.N. Distribution of Order Statistics of Selected Con comitants 201
Belzunce F., Hartinez-Puertas H., Ruiz J.M. Reliability operations for the minimum and the maximum of dependent observations 203
Akhundov I., Nevzorov V. From Student's t2 distribution to Student's t3 distribution through characterizations 208

Censoring methodology 213

Cramer E., Iliopoulos G. Adaptive Progressive Type-II Censoring 215
Dembi¶nska A. Ordered random variables from discrete distributions 219
Balakrishnan N., Davies, K., Keating, J.P. Order Statistics and Pitman Closeness 221

Distributions, models and applications 229

Capitanio A., Viroli C. Some results on mixtures of skew-normal distributions 231
Lai C.D. Modelling Life Distributions with Various Shapes of Hazard Rates 233
Sarabia J. Multivariate GB2 Distributions 239
Hochberg K.J. Structural, Continuity and Asymptotic Properties of a Branching Particle System 243

Step-stress tests and inference 247

Kamps U., Balakrishnan N., Kateri M. Minimal Repair under Step-Stress Test 249
Fan T., Huang W. A Bayesian Approach to the Step Stress Accelerate Life Tests in a Series System with Weibull Lifetime Components 251

Ordered data analysis II 253

Egorov V., Kondybaev N. On Applications of Poisson Random Point Processes in Probability Theory and Statistics 255
Burkschat M. On the relation between generalized order statistics and their counting process 259
Rasch D., Moder K., Kubinger K. D. Don't use the two-sample t-test anymore! 260

Recent developments in nonparametric regression 267

Neumeyer N., Birke M. Testing for monotonicity of nonparametric regression functions 269
Heuchenne C., Van Keilegom I. Semiparametric inference in general heteroscedastic regression models 271
Kovac A. Image Analysis and Total Variation 277

High-dimensional statistical inference 279

James G., Radchenko P. Forward-LASSO with Adaptive Shrinkage 281
Leeb H. Conditional Predictive Inference Post Model Selection 283
Wang S., Zhu J. Variable Selection for Model-Based High-Dimensional Clustering and Its Application to Microarray Data 289

Singular spectrum analysis 291

Nekrutkin V. Perturbation expansions of signal subspaces for long signals 293
Zhigljavsky A., Moskvina V. Application of SSA for detecting change-points in time series 299
Moskvina V. Signal detection in genome-wide association studies 303
Golyandina N., Usevich K. An Algebraic View on Finite Rank in 2D-SSA 310
Golyandina N., Vlassieva E. First-order SSA-errors for long time series: model examples of simple noisy signals 316

Stochastic modeling in reliability and survival analysis 323

Lemeshko S.B., Nikulin M.S., Saaidia N. Simulation of the statistics distributions and power of the goodness-of-fit tests in composite hypotheses testing rather Inverse Gaussian distribution 325
Tsheglov A., Lemeshko B. About the matter of forecasting by using simultaneous equations models 331
Christoph G., Malov S. On semiparametric estimation in copula models under right censored data 337
Clerjaud L., Nikulin M. Log-normal and Generalized Weibull in ALT in case of U-shaped, test and signification 343
Bagdonavi·cius V., Masiulaityt_e I., Nikulin M. Statistical Analysis of Redundant Systems by Simulation 349

Design of clinical trials 355

Carvalho E., Batilana A., Shah J., Rajgor D., Shan A., Benjamin D., Pietrobon R. Evaluating cost e±ciency of operational changes in a pediatric clinical trial through discrete simulation 357
Ivanova A. Adaptive estimation in dose-ranging studies 364
Aliev A., Fedorov V., Leonov S., McHugh B. PkStaMp library for optimization of sampling schemes for PK/PD models 370

Spatial design of experiments 377

Stehlik M. Topological conditions on covariance structures for regression problems 379
Muller, W.G., Rivas Lopez M.J., Rodriguez-Diaz J.M. Optimal design for spatial ecology 385

Recent developments on design of experiments 387

Morgan J.P. Weighted Optimality in Experimental Design 389
Tang B. Construction of orthogonal and nearly orthogonal Latin hypercube designs for computer experiments 390
Yang M. Support points of locally optimal designs for nonlinear models 391
Stufken J., Yang M. On locally optimal designs for generalized linear models with group effects 392

Optimal design for discrimination 393

Tommasi C. Robust optimum designs to a misspecified model 395
Bogacka B., Atkinson A.C., Patan M. Designs for Discriminating Between Models by Testing the Equality of Parameters 401
Amo-Salas M., Lopez-Fidalgo J.,Lopez-Rios V. Optimal designs for discriminating between pharmacokinetic models with correlated observations 407
Design in conjoint analysis and related topics 413
Grasshoff U., Holling H. Schwabe R. On Optimal Design for a Heteroscedastic Model Arising from Random Coeffcients 415
Goos P. D-optimal conjoint choice designs with no-choice options for a nested logit model 421
Grossmann H., Schwabe R., Gilmour S.G. Some new designs for first-order interactions in 2K paired comparison experiments 422
Yu J., Goos P., Vandebroek M. Individually adapted sequential Bayesian designs for conjoint choice analysis 428
Danthurebandara V., Goos P., Vandebroek M., Yu J. Designs for Conjoint Choice Experiments: The Effect of the Choice Complexity 429

Modeling radiation-induced chromosomal aberration data 431

Monleon-Getino T., Crespo C., Rodrguez-Barrios J.M., Ocana J. Measuring uncertainty costs using Markov Chain Monte-Carlo 433
Ocana J., Sanchez P., Carrasco J. Quantifying the effect of carryover on bioequivalence assessment: a simulation study 439

Stochastic simulation and algoritmic methods for applied mathematical finance 445

Rianco N.S., Esquivel M.L., Mota P.P., Veiga C.A. On a Price-Liquidity Threshold Regime Swicthing Model 447
Sousa J. Machine Learning Vasicek Model Calibration with Gaussian Processes 453
Carvalho M., Esquivel M., Mexia, J. A General Stochastic Optimization Method for Extremum Estimators 459
Cabrera I., Esquivel M.L. Spot/Futures coupled model for commodity pricing 465
Esquivel M., Mexia J.T., Lita da Silva J., Ramos L.P.C. Some asymptotic expansions and distribution approximations outside a CLT context 472

Statistical computing for complicated models 479

Li J. Applications of the Bootstrap in ROC Analysis 481
Kolenikov S. Quasi-Monte Carlo Approach to Re-sampling Complex Survey Inference 482
Wang H., Ye M., Saporta G. Clustering Analysis of Multivariate Models 483

Nonparametric statistic 503

Corain L., Ragazzi S., Salmaso L. Permutation Tests for the Multivariate Randomized Complete Block Design 505
Basso D., Corain L., Salmaso L., Spadoni L., Tveit C. Multivariate Ranking Methods for Design and Analysis of Experiments 513
Bertoluzzo F., Pesarin F., Salmaso L. Nonparametric Weighted Step Down Holm Method with heteroscedatic variables 519
Bianconcini S., Mignani S. Relating nonlinearity to nonstationarity in latent growth models 525
Montanari A., Viroli C. A simulation study for evaluating the clustering performance of Factor Mixture Analysis with covariates 531
Filisetti A., Serra R., Villani M., Carletti T., Poli I. Synchronization phenomena in Non Linear Reaction Models of protocell 537
Bertoluzzo F., Corain L., Pesarin F. and Salmaso L. Finite-sample consistency of non-associative statistics and correlated data for combination-based permutation tests 543
Arboretti G., Bonnini S., Salmaso L. Ordinal classi.cation in multidimensional problems 549

Models and algorithms for complex design 555

Cagnone S., Monari P. Latent variable models for the University process evaluation by using different integration methods 557
Marozzi M. A combined resampling test for scale in two-sample designs 563
Ciampi A., Dyachenko A., Gonzalez-Marcos A., Lechevallier Y. Two-way classification of a data table with non-negative entries: the role of the A2 distance and Correspondence Analysis 570
Ciampi A., Xu H., Dyachenko A., Campbell H., McCusker J., Cole M.C. Model based clustering of longitudinal data: application to modeling disease course 579
Rich B., Ciampi A. Soft Node Trees for Multinomial Outcomes 585
Schimek M.G., Budinska E., Mysickova A. Integration of top-k list information inferred from paired rankings 592
De March D., Slanzi D., Poli I. Evolutionary Algorithms for Complex Experimental Designs 598
Forlin M. A computational design for high dimensional biochemical experiments 603
Slanzi D., De March D., Poli I. Probabilistic graphical models in high dimensional systems 609

Statistical inference from complex data 613

Brunner E. Repeated Measures under Non-Sphericity 615
Darkhovsky B. Non-asymptotic estimation of functionals in noise 621
Ryabko B. Using Universal Source Coding for Statistical Analysis of Time Series 628
Ghosh S., Dey D. Linear and Nonlinear Approximations of the Ratio of the Standard Normal Density and Distribution Functions for the Estimation of the Skew Normal Shape Parameter 634
Causeur D., Friguet C. Conditional FDR estimation based on a factor analytic approach of multiple testing 639
Garel B., Kodia B. Performance of a new dependence measure between stable non-Gaussian random variables and comparison with other measures: a simulation study 645
Guo L., Guan R. Study on Linear Regression Analysis of Multivariate Compositional Data 651

Lifetime data analysis 659

Huber C. Simulations for frailty models with general censoring and truncation 661
Lee M-L.T., Whitmore G.A. Proportional Hazards and Threshold Regression: Their Theoretical and Practical Connections 662
Caroni C. Trend tests for recurrent events with incomplete and misclassiffed information 663
Hu J. Analysis of Event History Data With Covariate Missing Not At Random 668
Nikulin M., Saaidia N. Inverse Gaussian family and its applications in reliability. Study by simlulation 669

Recent advances in change-point analysis 677

Gut A., Steinebach J.G. Sequential change-point analysis for renewal counting processes 679
Huskova M., Marusiakova M. M-procedures for detection of changes for dependent observations 685
Steland A. A Note on Data-Adaptive Bandwidth Selection for Sequential Kernel Smoothers 691

Reliability and survival analysis 697

Simino J., Hollander M., McGee D. Calibration of proportional hazards models 699
Young L.J., Gotway C.A., Kearney G., DuClos C. Models for Assessing Uncertainty for Local Regression 705
Olkin I. Inequalities: Some Probabilistic, Some Matrix, Some Moment, and Some Classical 711

Stochastic simulation of rare events and stiff systems 713

Cancela H., El Khadiri M., Rubino G., Tuttin B. A Recursive Variance Reduction Technique with Bounded relative Error for Communication Network Reliability Estimation 715
Krull C., Horton G. Proxel-Based Simulation: Theory and Applications 721
Sandmann W. Multistep Methods for Markovian Event Systems 727
Lagnoux A. An adaptive branching splitting algorithm under cost constraint for rare event analysis 733
Broniatowsky M. Rare events simulation and conditioned random walks: the moderate deviation case 738

Goodness-of-fit and related methods 741

Huskova M., Meintanis S.G. Tests for symmetric error distribution in regression models 743
Henze N., Nikitin Y., Ebner B. Lp-type goodness-of-fit tests and their asymptotic comparison 749
Meintanis S.G., Taufer E. Inference Procedures for Stable-Paretian Stochastic Volatility Models 755
Allison J.S., Swanepoel J.W.H. A new method of evaluating the performance of bootstrap-based tests 761
Strelec L., Stehlik M. On Robust Testing for Normality 767
Volkova K. Tests of the exponentiality based on properties of order statistics 773
Martynov G. Goodness-of-fit tests for the Weibull and Pareto distributions 777

Performance analysis of biological and queuing models 783

Lopez-Herrero M.J. Analysis of the time to infection and disease extinction time in SIS epidemic models 785
Artalejo J. Number of removals in the stochastic SIR model 791
Delgado R. A su±cient condition for stability of °uid limit models 797
Ridder A. Importance sampling simulation of the fork-join queue 803
Atencia I., Pechinkin A.V. A discrete-time queueing system with total renewal discipline 809
Nobel R. A discrete-time retrial queueing model with multiple servers 815
Economou A. The maximum number of infectives in SIS epidemic models: Computational techniques and quasi-stationary distributions 816

Section reports 824

Queuing and other discrete systems 825

Klimenok V., Khramova V., Dudin A., Eom H., Kim C. The BMAP=PH=N queue operating in random environment 827
Klimenok V.I, Kim C.S., Taramin O.S. Steady-state analysis of a dual tandem queue with arbitrary inter-arrival time distribution 833
De Clercq S., Steyaert B., Bruneel H. Analysis of a Multi-Class Discrete-time Queueing System under the Slot-Bound Priority rule 839
Eom H.E., Kim C.S., Melikov A., Fattakhova N. Approximate Method for QoS Analysis of Multi-Threshold Queuing Model of Multi-Service Wireless Networks 845
Boukouvalas A., Cornford C., Singer A. Managing Uncertainty in Complex Stochastic Models: Design and Emulation of a Rabies Model 851
Koskinen J. Using latent variables to account for heterogeneity in exponential family random graph models 857
Lukyanenko A., Gurtov A., Morozov E. An adaptive backoff protocol with Markovian contention window control 863
Mosyagina E.N. On estimations of periodically non-stationary stochastic automaton behavior under fuzzy condition 869
Khokhulina V.A., Tchirkov M.K. On Decomposition of Fuzzy Automata Models 875
Shevchenko A.S., Tchirkov M.K. On simulation of stochastic languages by nondeterministic automata 881
Krivulin N. Evaluation of the Lyapunov exponent for generalized linear second-order exponential systems 887

Monte-Carlo methods and stochastic modeling 895

L'Ecuyer P., Tu±n B. Limiting Distributions for Randomly-Shifted Lattice Rules 897
Sushkevich T., Strelkov S., Maksakova S. Kinetic approach and method of influence function to modelling of polarized radiation transfer 903
Walker J.H., Iskedjian M. A Semi-Markov Model for Patients Following a
Clinically Isolated Syndrome Event Prior to Progression to Clinically Definite Multiple Sclerosis 909
Paramonov Y., Andersons J., Kleinhofs M. Modelling of tensile strength of fiber and composite using MinMaxDM distribution family 915
Miretskiy D., Scheinhardt W., Mandjes M. An e±cient Multilevel Splitting scheme 921
Alfares H.K. Simulation-based multi-craft workforce scheduling 927
Ermakov S., Timofeev K. On two new Monte-Carlo methods for solving nonlinear equations 934
Ermakov S.M., Rukavishnikova A.I. Application of the Monte-Carlo and Quasi Monte-Carlo methods to solving systems of linear equations 941
Harlamov B.P. Stochastic Modeling in Chromatography 947
Nekrutkin V., Rumyantzev N. Artificial Monte Carlo interactions for linear problems 953
Kolnogorov A.V., Shelonina T.N. Monte-Carlo Simulations for the Multi-Armed Bandit Problem 959
Alexeyeva N. The generalized geometric distribution and the associated Galton-Watson model with a medical statistical application 965
Heussen N., Hilgers R.-D., Ackermann D. Choice of the reference set in randomization tests in the presence of missing values - a simulation study972
Burnaeva E. On Discrepancy in Connection with the Residual of the Cubature Formulae 981

Probabilistic models 985

Rozovsky L. A remark to large deviation probabilities for sums of i.i.d. random variables in the domain of attraction of a stable law 987
Petrov V.V., Korchevsky V.M. On the strong law of large numbers for sequences of dependent random variables 989
Nevzorov V., Saghatelyan V. On one new model of records 993
Gouet R., Lopez F.J., Sanz, G. Limit theorems for the counting process of near-records 997
Orsingher E., Cammarota V. Random motions in hyperbolic spaces 1003

Applied stochastic procedures 1005

Grane A., Veiga H. Wavelet-based detection of outliers in volatility models1007
Dyudenko I., Morozov E., Pagano M., Sandmann W. Comparative Study of Effective Bandwidth Estimators: Batch Means and Regenerative Cycles 1015
Jorgensen B., Petersen H.C. E±cient Estimation for Incomplete Multivariate Data 1022
Andronov A. Maximal likelihood estimates for modi.ed gravitation model by aggregated data 1028
Ermakov S.M., Nechaeva M.L. On estimation of the special form nonlinear regression parameters 1034
Korobeynikov A. On the Consistency of ML-estimates for the Special Model of Survival Curves with Incomplete Data 1039
Bochkina N., Lewin A. Fuzzy Fisher test for contingency tables with application to genomics data 1045
Ermakov M. Bootstrap from moderate deviation viewpoint 1046

Experimental design 1051

Malyutov M., Sadaka H. On Capacity of Screening Experiments under Linear Programming Analysis 1053
Roth K. Adaptive Designs for Dose Escalation Studies 1060
Atkinson A.C. Adaptive Covariate Adjusted Designs for Clinical Trials that Seek Balance 1066
Melas V.B. On the functional approach to studying optimal Bayesian design1072
Mielke T. Sparse Sampling D-Optimal Designs in Quadratic Regression With Random Effects 1078
Liang Y., Carriere KC. Multiple-Objective response-adaptive repeated measurement designs for clinical trials with dichotomous outcomes 1084
Sedunov E.V., Sedunova A.N. Unbiased procedures in time-dependent regression experiments 1091
Dette H., Melas V.B., Shpilev P. Optimal designs for estimating the linear combination of the coeffcients in trigonometric regression models 1097
Pepelyshev A. Improvement of random LHD for high dimensions 1103
Harman R., ·Stulajter F. Optimality of Equidistant Sampling Designs for a Nonstationary Ornstein-Uhlenbeck Process 1109
Schi. K., Hilgers R.D. A-Optimal Designs for Two-Color Microarray Experiments for interesting contrasts 1115

Optimization techniques 1121

Tikhomirov A. On some properties of the simulated annealing algorithm 1123
Kreimer J., Ianovsky E. Optimization of Real-Time Systems 1129
Laurini F., Grossi L., Gozzi G. Robust Lagrange multiplier test with forward search simulation envelopes 1136
Granichin O., Gurevich L., Vakhitov A. Parameter Estimation and Tracking For the Rosenbrock Function Using Simultaneous Perturbation Stochastic Approximation Algorithm 1142

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