Innovative methods for modeling of scale invariant processes

This paper presents some innovative methods for modeling discrete scale invariant (DSI) processes and evaluation of corresponding parameters. For the case where the absolute values of the increments of DSI processes are in general increasing, we consider some moving sample variance of the increments and present some heuristic algorithm to characterize successive scale intervals. This enables us to estimate scale parameter of such DSI processes. To present some superior structure for the modeling of DSI processes, we consider the possibility that the variations inside the prescribed scale intervals show some further self-similar behavior. Such consideration enables us to provide more efficient estimators for Hurst parameters. We also present two competitive estimation methods for the Hurst parameters of self-similar processes with stationary increments and prove their efficiency. Using simulated samples of some simple fractional Brownian motion, we show that our estimators of Hurst parameter are more efficient as compared with the celebrated methods of convex rearrangement and quadratic variation. Finally we apply the proposed methods to evaluate DSI behavior of the S&P500 indices in some period.     

Graphical evaluation of robust parameter designs based on extended scaled prediction variance and extended spherical average prediction variance

For any response surface design, there are locations in the design region where responses are estimated well and locations where estimation is relatively poor. Consequently, graphical evaluation—such as variance dispersion graphs and the fraction of design space—is used as an alternative to a single-valued criterion. Such plots are used to investigate and compare the prediction capabilities of certain response surface designs currently available to the researcher. In this article, we propose the extended scaled prediction variance and extended spherical average prediction variance as prediction methods. We also illustrate how graphical methods can be employed to evaluate robust parameter designs.     

A bias-corrected histogram estimator for line transect sampling

The classical histogram method has already been applied in line transect sampling to estimate the parameter f(0), which in turns is used to estimate the population abundance D or the population size N. It is well know that the bias convergence rate for histogram estimator of f(0) is o(h²) as h → 0, under the shoulder condition assumption. If the shoulder condition is not true, then the bias convergence rate is only o(h). This paper proposed two new estimators for f(0), which can be considered as modifications of the classical histogram estimator. The first estimator is derived when the shoulder condition is assumed to be valid and it reduces the bias convergence rate from o(h²) to o(h³). The other one is constructed without using the shoulder condition assumption and it reduces the bias convergence rate from o(h) to o(h²). The asymptotic properties of the proposed estimators are derived and formulas for bin width are also given. The finite properties based on a real data set and an extensive simulation study demonstrated the potential practical use of the proposed estimators.     

Structural change tests for GEL criteria

This article examines structural change tests based on generalized empirical likelihood methods in the time series context, allowing for dependent data. Standard structural change tests for the Generalized method of moments (GMM) are adapted to the generalized empirical likelihood (GEL) context. We show that when moment conditions are properly smoothed, these test statistics converge to the same asymptotic distribution as in the GMM, in cases with known and unknown breakpoints. New test statistics specific to GEL methods, and that are robust to weak identification, are also introduced. A simulation study examines the small sample properties of the tests and reveals that GEL-based robust tests performed well, both in terms of the presence and location of a structural change and in terms of the nature of identification.     

一类非线性发展方程的新精确解

本文通过行波变换将改进的（2＋1）维ZK方程和（2＋1）维破裂孤子方程约化为标准椭圆方程,再由标准方程的行波解结构和参数假设法并借助计算机代数系统Mathematica求出原方程的解,从而得到了方程的多组精确孤立波解．与其他方法相比,这种方法简单有效,也可用于寻找其他非线性发展方程的精确孤立波解．     

扩展卡尔曼滤波估计载波参数的算法研究

提出了一种在接收信号幅度未知的情况下进行载波参数估计的扩展卡尔曼滤波算法,该算法把信号幅度及伪码自相关的乘积作为一个独立变量和载波相位、频率一起组成状态向量进行扩展卡尔曼滤波。理论分析表明该算法本质上是具有可变增益的幅度锁定环和相位锁定环的联合估计,并给出了稳态时环路闭环传输函数和等效噪声带宽的解析表达式。仿真结果表明该算法在高低信噪比下,均具有较高的估计精度和较快的收敛速度。     

Large deviations for Bayesian estimators in first-order autoregressive processes

In this paper we consider first-order autoregressive processes and we allow either centered Normal or exponential innovations. We prove large deviation principles for posterior distributions on the unknown parameter and, motivated by potential applications in risk theory, we also prove large deviation principles for Bayesian estimators of Lundberg's parameter.     

基于粗糙集约简的食品冷链物流系统协同模型研究

本文综合考虑了食品冷链物流及物流协同理论,建立了食品冷链物流系统的协同模型,运用序参量对协同模型进行分析,并创造性的利用基于信息熵的粗糙集约简方法定量求解序参量,通过实证分析验证了模型的有效性及实用性。     

A maximum-likelihood estimator with infinite error

The standard error of the maximum-likelihood estimator for 1/μ based on a random sample of size N from the normal distribution N(μ,σ²) is infinite. This could be considered to be a disadvantage.Another disadvantage is that the bias of the estimator is undefined if the integral is interpreted in the usual sense as a Lebesgue integral. It is shown here that the integral expression for the bias can be interpreted in the sense given by the Schwartz theory of generalized functions. Furthermore, an explicit closed form expression in terms of the complex error function is derived. It is also proven that unbiased estimation of 1/μ is impossible.Further results on the maximum-likelihood estimator are investigated, including closed form expressions for the generalized moments and corresponding complete asymptotic expansions. It is observed that the problem can be reduced to a one-parameter problem depending only on , and this holds also for more general location-scale problems. The parameter can be interpreted as a shape parameter for the distribution of the maximum-likelihood estimator.An alternative estimator is suggested motivated by the asymptotic expansion for the bias, and it is argued that the suggested estimator is an improvement. The method used for the construction of the estimator is simple and generalizes to other parametric families.The problem leads to a rediscovery of a generalized mathematical expectation introduced originally by Kolmogorov [1933. Foundations of the Theory of Probability, second ed. Chelsea Publishing Company (1956)]. A brief discussion of this, and some related integrals, is provided. It is in particular argued that the principal value expectation provides a reasonable location parameter in cases where it exists. This does not hold generally for expectations interpreted in the sense given by the Schwartz theory of generalized functions.