Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution

A multivariate normal mean–variance mixture based on a Birnbaum–Saunders (NMVMBS) distribution is introduced and several properties of this new distribution are discussed. A new robust non-Gaussian ARCH-type model is proposed in which there exists a relation between the variance of the observations, and the marginal distributions are NMVMBS. A simple EM-based maximum likelihood estimation procedure to estimate the parameters of this normal mean–variance mixture distribution is given. A simulation study and some real data are used to demonstrate the modelling strength of this new model.     

Production systems and supplier selection: a multi-phase process model

Abstract

Purpose: This paper presents a combined multi-phase supplier selection model. The process repeatedly revisits the criteria and sourcing decision as the development process continues. This enables a structured adoption of product and production system innovation from strategic suppliers, where previously the literature purely focuses on product innovation or cost reduction. Design/methodology/approach: The authors adopted an embedded researcher style, inductive, qualitative case study of an industrial supply cluster comprising a focal automotive company and its interaction with three different strategic stamping suppliers. Findings: Our contribution is the multi-phased production and product innovation process. This is an advance from traditional supplier selection and also an extension of ideas of supplier-located product development as it includes production system development, and complements the literature on working with strategic suppliers. Specifically, we explicitly articulate the previously unreported issue of whether a supplier chosen for its innovation capabilities at the start of the new product development process will also be the most appropriate supplier during the production system development phase, when an ability to work collaboratively may be the most important attribute, or in the large-scale production phase when an ability to manufacture at low unit cost may be most important. Originality/value: The paper identifies a multi-phase approach to tendering within a fixed body of strategic suppliers which seeks to identify the optimum technological and process decisions as well as the traditional supplier sourcing choice. These areas have not been combined before and generate a valuable approach for firms to adopt as well as for researchers to extend our understanding of a highly complex process.     

Tail asymptotic of discounted aggregate claims with compound dependence under risky investment

This paper considers the tail asymptotic of discounted aggregate claims with compound dependence under risky investment. The price of risky investment is modeled by a geometric Lévy process, while claims are modeled by a one-sided linear process whose innovations further obeying a so-called upper tail asymptotic independence. When the innovations are heavy tailed, we derive some uniform asymptotic formulas. The results show that the linear dependence has significant impact on the tail asymptotic of discounted aggregate claims but the upper tail asymptotic independence is negligible.     

A surplus process involving a compound Poisson counting process and applications

Abstract

In this paper, we introduce a surplus process involving a compound Poisson counting process, which is a generalization of the classical ruin model where the claim-counting process is a homogeneous Poisson process. The incentive is to model batch arrival of claims using a counting process that is based on a compound distribution. This reduces the difficulty of modeling claim amounts and is consistent with industrial data. Recursive formula, some properties and relevant main ruin theory results are provided. Further, we consider applications involving zero-truncated negative binomial and zero-truncated binomial batch arrivals when the claim amounts follow exponential or Erlang distribution.     

Local asymptotic normality for long-memory process with strong mixing noises

Abstract

We will establish the local asymptotic normality (LAN) for fractional autoregressive long memory model in the case of strong mixing noises. This opens the way in future work to construct an adaptive estimator and construct optimal tests for the parameters. To check the feasibility and validity of our theoretical results a simulations study is considered.     

Control Chart for Monitoring Autocorrelated Process with Multiple Exogenous Inputs

We propose to use AR-Sieve Bootstrap in the construction of a control chart of an autocorrelated process influenced by multiple exogenous inputs. The control charts are compared with Exponentially Weighted Moving Average (EWMA) control chart through a simulation study. AR-Sieve bootstrap control limits are narrower than EWMA control limits. While the proposed method yields a higher rate of false alarms, it is quick in detecting even minimal structural changes.     

研发过程中知识产权风险的控制

企业知识产权包括商标、专利和著作权等，它是企业重要的无形资产。目前，国内大多数企业还不够重视企业的知识产权保护，尤其是专利保护。在研发过程中的专利申请及保护不及时、不到位，导致企业从项目研发到市场占有的整个过程蒙受巨大风险。从知识产权保护角度，探讨了企业研发过程中有关风险的防范措施。     

Simulating random variables using moment-generating functions and the saddlepoint approximation

When we are given only a transform such as the moment-generating function of a distribution, it is rare that we can efficiently simulate random variables. Possible approaches such as the inverse transform using numerical inversion of the transform are computationally very expensive. However, the saddlepoint approximation is known to be exact for the Normal, Gamma, and inverse Gaussian distribution and remarkably accurate for a large number of others. We explore the efficient use of the saddlepoint approximation for simulating distributions and provide three examples of the accuracy of these simulations.     

论“被现代”图景在现代中国文学中的展现

"现代"是由各种向不同方向扯动的诸多主题共同建构的一种历史凝缩的结果。"现代"是背靠启蒙运动和工业革命的社会进程。它的发展将整个世界卷入其中。它同时拥有积极阳光的一面和腐烂阴暗的一面。后者集中体现在那些没有两大背景的"被现代"的第三世界国家。现代中国就是不幸处于现代时空中的第三世界国家。在现代中国文学中,我们能够看到"被现代"所带来的无奈与衰颓。老舍的《骆驼祥子》就是展现这幅"被现代"图景的典型作品之一。     

近代城市空间改造的时空进程

近代城市人口的增长、城市职能的变化、市政机构的出现带来了城市空间的转变。２０世纪初，中国开始了大范围的城市基础设施改造与新建。其中最有代表性的是拆城、填濠、修筑环城马路的工程，此后全国大部分的城市改造都遵循了相似的模式。本文通过对近１２００座治所城市城墙变动信息的研究发现，２０世纪大规模的城市空间改造最初主要从东南沿海省份开始，３０年代末至４０年代的战争打破了这一过程，但随着新中国成立后城市建设的恢复，空间改造的进程继续向西部省份推进，总体上呈现由东向西，由中心向边缘发展的特点。