银行风险传染随机模型研究

借鉴生物学中传染病模型,建立了银行风险传染的随机模型。描述了银行风险在银行系统中的传染过程,分析了受传染银行的数目变化规律以及银行风险传染率、银行间的关联度和银行风险治理率对银行风险传染的影响。分析结果表明：通过降低传染率、降低关联度或增加治理率都可以控制银行风险的传染,并且降低银行间的关联度比增加治理率对控制银行风险传染的效果更好。     

中国旅游业发展与经济增长的统计分析

文章从总量、相关及回归、弹性和贡献率四个方面探讨了中国旅游业发展与经济增长的关系,得出了中国旅游业发展与经济增长存在双向关系。特别是依据中国1991~2005年相关统计数据,定量研究了经济增长对旅游业发展的弹性和旅游业对经济增长的贡献率,论证了经济增长促进旅游业的发展,旅游业的发展反过来又推动了经济增长,而且这种推动作用越来越明显。文章最后在统计分析的基础上提出了相关政策建议供相关部门决策参考。     

Robustness of residual-based bootstrap to the composition of serially correlated errors

In a simple autoregressive model with serially correlated errors, we evaluate size distortions resulting from the residual bootstrap when the Wold innovation is serially dependent and hence is expected to contaminate the inference. The small distortions caused by the presence of strong conditional heteroskedasticity or other nonlinearities can be partly removed further by using the wild bootstrap.     

基于灰色关联的西部煤炭产业集中度影响因素研究

在概述西部原煤产量及其矿井类型与数量变化趋势的基础上,利用2003-2010年相关时序数据测度了西部煤炭产业在这一时期的集中度。随后,运用灰色关联理论,分析了期初集中度、生产扩张能力、进入壁垒、市场容量等相关因素与西部煤炭产业集中度的灰色关联程度。研究表明:期初集中度与市场容量是影响西部煤炭产业集中度诸多因素中最为重要的两个因素。在进一步分析产生这一结果深层原因的基础上,提出了提高西部煤炭产业集中度的政策建议。     

Optimal step-stress accelerated degradation test plans for inverse Gaussian process based on proportional degradation rate model

The purpose of this paper is to address the optimal design of the step-stress accelerated degradation test (SSADT) issue when the degradation process of a product follows the inverse Gaussian (IG) process. For this design problem, an important task is to construct a link model to connect the degradation magnitudes at different stress levels. In this paper, a proportional degradation rate model is proposed to link the degradation paths of the SSADT with stress levels, in which the average degradation rate is proportional to an exponential function of the stress level. Two optimization problems about the asymptotic variances of the lifetime characteristics' estimators are investigated. The optimal settings including sample size, measurement frequency and the number of measurements for each stress level are determined by minimizing the two objective functions within a given budget constraint. As an example, the sliding metal wear data are used to illustrate the proposed model.     

Bayesian ratemaking procedure of crop insurance contracts with skewed distribution

Over the years, crop insurance programs became the focus of agricultural policy in the USA, Spain, Mexico, and more recently in Brazil. Given the increasing interest in insurance, accurate calculation of the premium rate is of great importance. We address the crop-yield distribution issue and its implications in pricing an insurance contract considering the dynamic structure of the data and incorporating the spatial correlation in the Hierarchical Bayesian framework. Results show that empirical (insurers) rates are higher in low risk areas and lower in high risk areas. Such methodological improvement is primarily important in situations of limited data.     

A Model of Aging and a Shape of the Observed Force of Mortality

A probabilistic model of aging is considered. It is based on the assumption that a random resource, a stochastic process of aging (wear) and the corresponding anti-aging process are embedded at birth. A death occurs when the accumulated wear exceeds the initial random resource. It is assumed that the anti-aging process decreases wear in each increment. The impact of environment (lifestyle) is also taken into account. The corresponding relations for the observed and the conditional hazard rate (force of mortality) are obtained. Similar to some demographic models, the deceleration of mortality phenomenon is explained via the concept of frailty. Simple examples are considered.     

A test for zero point triserial correlation coefficient and its relationship with tests for homogeneity of means with ordered alternatives

The point triserial correlation coefficient is defined and, under appropriate order restrictions, an exact test that this correlation coefficient equals zero is developed. The power function of that test is derived and partially tabulated. The general problem of testing for homogeneity of means under ordered alternatives is discussed. The available procedures for performing such tests are considered, are seen to provide alternative approaches to the test developed herein, and are compared with that test. An exact test for the equality of dependent point triserial correlation coefficients is described through application of a procedure suggested by Wolfe ‘1976’     

列联资料的有向相关聚类分析

将相关分析和有向聚类分析结合,提出有向相关聚类方法。先依据相关性进行变量合并,再进行有向聚类,分析结果更合理,聚类过程更简单。将该方法用于大学生健康成长影响因素的调查数据,得出更合理的结果。     

Some Deficiencies of Using Moment Generating Functions

Dissatisfaction is expressed with the well-known definitions of partial and multiple correlation. Partial correlation is defined here as the ordinary correlation between two random variables after their linear dependence on the partialed-out variables has been subtracted. This leads to familiar results; it also clarifies the auto-regressivelike assumptions required for the partial autocorrelations to have a cut-off property. Multiple correlation is similarly considered.     

An Approach of Stocks Substitution Strategy Using Fuzzy Interval Correlation Coefficient

The classical Pearson's correlation coefficient has been widely adopted in various fields of application. However, when the data are composed of fuzzy interval values, it is not feasible to use such a traditional approach to evaluate the correlation coefficient. In this study, we propose the specific calculation of fuzzy interval correlation coefficient with fuzzy interval data to measure the relationship between various stocks. As such, the study is able to offer an improving measure of investment strategy for stocks substitution via the analysis of the fuzzy interval correlation. In addition, we use empirical studies to verify the validity of our proposal on fuzzy interval correlation coefficient using data from companies in electric machinery and plastic sectors in Taiwan.