ADDITIVE MODELS WITH PREDICTORS SUBJECT TO MEASUREMENT ERROR

This paper develops a likelihood‐based method for fitting additive models in the presence of measurement error. It formulates the additive model using the linear mixed model representation of penalized splines. In the presence of a structural measurement error model, the resulting likelihood involves intractable integrals, and a Monte Carlo expectation maximization strategy is developed for obtaining estimates. The method's performance is illustrated with a simulation study.     

Improved Monte Carlo inference for models with additive error

Some statistical models defined in terms of a generating stochastic mechanism have intractable distribution theory, which renders parameter estimation difficult. However, a Monte Carlo estimate of the log-likelihood surface for such a model can be obtained via computation of nonparametric density estimates from simulated realizations of the model. Unfortunately, the bias inherent in density estimation can cause bias in the resulting log-likelihood estimate that alters the location of its maximizer. In this paper a methodology for radically reducing this bias is developed for models with an additive error component. An illustrative example involving a stochastic model of molecular fragmentation and measurement is given.     

具有卖空总量限制的多阶段M—SAD投资组合优化

文章提出具有卖空总量限制、阈值约束和V型交易成本的多阶段均值—半绝对偏差（M-SAD）投资组合优化模型。该模型分别运用均值和半绝对偏衡量资产的收益率和风险。由于交易成本的存在,该模型不满足无后效性的动态优化问题。文章将该模型近似为一般动态规划问题,提出一种新的离散迭代方法,并证明该算法是线性收敛的。最后,文章通过实证研究比较分析卖空总量限制和风险偏好系数取不同值时对投资组合最优策略的影响,验证模型和算法的有效性。     

关联理论视角下的隐喻翻译研究——以《抗击新冠肺炎疫情的中国行动》英译为例

借助Pragglejaz团队的“隐喻识别程序”对《抗击新冠肺炎疫情的中国行动》白皮书中的隐喻进行分类描述,从认知关联视角切入对各类隐喻翻译进行案例分析。为实现白皮书类外宣文本国际传播的最佳社会效益,最大语境效果、共同的语境假设以及交际传播的目的是译者在实现隐喻跨语际转换时的重要考量准则。     

A Population Approach to Analysis of Variance Models

Several authors have contributed to what can now be considered a rather complete theory for analysis of variance in cases with orthogonal factors. By using this theory on an assumed basic reference population, the orthogonality concept gives a natural definition of independence between factors in the population. By looking upon the treated units in designed experiments as a formal sample from a future population about which we want to make inference, a natural parametrization of expectations and variances connected to such experiments arises. This approach seems to throw light upon several controversial questions in the theory of mixed models. Also, it gives a framework for discussing the choice of conditioning in models     

股指期货价格非线性均值回复特性实证研究

用ESTAR 模型对香港恒生指数期货933、9312、943 合约及S&P 500 指数期货933、9312、 943 合约价格进行了实证研究,发现恒生指数期货933、9312 合约实际价格呈现非线性均值回 复,而其他各合约实际价格呈现线性均值回复. 结论:由于股票现货没有卖空机制使套利成本 较大,抑制了套利行为,导致期货合约实际价格呈现非线性. 在股票现货没有卖空机制的市场 条件下,单向套利的机会要比成熟的市场更多.     

Inapproximability and approximability of maximal tree routing and coloring

Let G be a undirected connected graph. Given g groups each being a subset of V(G) and a number of colors, we consider how to find a subgroup of subsets such that there exists a tree interconnecting all vertices in each subset and all trees can be colored properly with given colors (no two trees sharing a common edge receive the same color); the objective is to maximize the number of subsets in the subgroup. This problem arises from the application of multicast communication in all optical networks. In this paper, we first obtain an explicit lower bound on the approximability of this problem and prove Ω(g^1−ε)-inapproximability even when G is a mesh. We then propose a simple greedy algorithm that achieves performance ratio O√|E(G)|, which matches the theoretical bounds. Supported in part by the NSF of China under Grant No. 70221001 and 60373012.     

Pipage Rounding: A New Method of Constructing Algorithms with Proven Performance Guarantee

The paper presents a general method of designing constant-factor approximation algorithms for some discrete optimization problems with assignment-type constraints. The core of the method is a simple deterministic procedure of rounding of linear relaxations (referred to as pipage rounding). With the help of the method we design approximation algorithms with better performance guarantees for some well-known problems including MAXIMUM COVERAGE, MAX CUT with given sizes of parts and some of their generalizations.     

Optimal B-robust estimators for the parameters of the Burr XII distribution

The Burr XII distribution offers a flexible alternative to the distributions that play important role for modelling data in reliability, risk and process capability. However, estimating the shape parameters of the Burr XII distribution is a challenging problem. The classical estimation methods such as maximum likelihood and least squares are often used to estimate the parameters of the Burr XII distribution, but these methods are very sensitive to the outliers in the data. Thus, a robust estimation method alternative to the classical methods is needed to find robust estimators that are less sensitive to the outliers in the data. The purpose of this paper is to use the optimal B-robust estimation method [Hampel FR, Ronchetti EM, Rousseeuw PJ, Stahel WA. Robust statistics: the approach based on influence functions. New York: Wiley; 1986] to obtain robust estimators for the shape parameters of the Burr XII distribution. The simulation results show that the optimal B-robust estimators generally outperform the classical estimators in terms of the bias and root mean square errors when there are outliers in data.     

商誉和价格影响需求的易逝品动态定价与广告决策

研究需求受价格和商誉共同影响下易逝品动态定价与广告投资策略的联合决策问题。在初始库存确定的情形下,在某待定销售周期内,企业通过投入广告提升自身商誉从而拓宽市场,以企业利润最大化为目标,建立联合最优动态定价及广告投资策略模型。应用庞特里亚金极大值原理,求得不同系统参数下最优动态定价和广告投资策略及最优的销售周期。通过数值算例验证方法的有效性,结合参数灵敏度分析检验系统参数对最优策略的影响并给出相应管理意义。